DiscreteHedging1
Example of using quantlib
Usage
DiscreteHedging
Overview
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".
Releases
12 releases since Debian 3.0 (Woody); the text changed 4 times.