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), convertiblebonds(1), equityoption(1), fra(1), replication(1), repo(1), swapvaluation(1), the QuantLib documentation and website at

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.