man DiscreteHedging (Commandes) - 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".
SEE ALSO
The source code DiscreteHedging.cpp, EuropeanOption(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.