DiscreteHedging (1) - Linux Man Pages

DiscreteHedging: Example of using QuantLib

NAME

DiscreteHedging - Example of using QuantLib

SYNOPSIS

DiscreteHedging

DESCRIPTION

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".

AUTHORS

The QuantLib Group (see Authors.txt).

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

SEE ALSO

The source code DiscreteHedging.cpp, BermudanSwaption(1), ConvertibleBonds(1), EquityOption(1), FRA(1), Replication(1), Repo(1), SwapValuation(1), the QuantLib documentation and website at http://quantlib.org, http://www.gs.com/qs/doc/when_you_cannot_hedge.pdf