DiscreteHedging (1) - Linux Man Pages
DiscreteHedging: Example of using QuantLib
NAMEDiscreteHedging - 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".
AUTHORSThe QuantLib Group (see Authors.txt).
This manual page was added by Dirk Eddelbuettel <edd [at] debian.org>, the Debian GNU/Linux maintainer for QuantLib.