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".
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_cannot_hedge.pdf
AUTHORS¶
The QuantLib Group (see
Authors.txt).
This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the
Debian GNU/Linux maintainer for
QuantLib.