DiscreteHedging man page

DiscreteHedging — Example of using QuantLib


DiscreteHedging is an example of using the QuantLib Monte Carlo simulation framework.

By simulation, DiscreteHedging computes profit and loss of a discrete interval hedging strategy and compares with the outcome with the results of Derman and Kamal's Goldman Sachs Equity Derivatives Research Note "When You Cannot Hedge Continuously: The Corrections to Black-Scholes".

See Also

The source code DiscreteHedging.cpp, BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), EquityOption(1), FittedBondCurve(1), FRA(1), MarketModels(1), Replication(1), Repo(1), SwapValuation(1), the QuantLib documentation and website at http://quantlib.org, http://www.gs.com/qs/doc/when_you_canno…


The QuantLib Group (see Authors.txt).

This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib.

Referenced By

BasketLosses(1), BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), CVAIRS(1), EquityOption(1), FittedBondCurve(1), FRA(1), Gaussian1dModels(1), LatentModel(1), MarketModels(1), MultidimIntegral(1), Replication(1), Repo(1), SwapValuation(1).

Explore man page connections for DiscreteHedging(1).

QuantLib 20 September 2001