|
Unix VPS
Support
FAQ
Network
Miscellaneous
|
| DISCRETEHEDGING(1) | FreeBSD General Commands Manual | DISCRETEHEDGING(1) |
NAME
DiscreteHedging - Example of using QuantLibSYNOPSIS
DiscreteHedgingDESCRIPTION
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), MulticurveBootstrapping(1), Replication(1), Repo(1), the QuantLib documentation and website at http://quantlib.org, http://www.gs.com/qs/doc/when_you_cannot_hedge.pdfAUTHORS
The QuantLib Group (see Contributors.txt).This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib.
| 20 September 2001 | QuantLib |
Visit the GSP FreeBSD Man Page Interface.
Output converted with ManDoc.