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DISCRETEHEDGING(1) General Commands Manual DISCRETEHEDGING(1) NAME DiscreteHedging - Example of using QuantLib SYNOPSIS DiscreteHedging DESCRIPTION DiscreteHedging is an example of using the QuantLib Monte Carlo simula- tion framework. By simulation, DiscreteHedging computes profit and loss of a discrete interval hedging strategy and compares with the outcome with the re- sults of Derman and Kamal's Goldman Sachs Equity Derivatives Research Note "When You Cannot Hedge Continuously: The Corrections to Black-Sc- holes". SEE ALSO The source code DiscreteHedging.cpp, BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), EquityOption(1), Fitted- BondCurve(1), FRA(1), MarketModels(1), MulticurveBootstrapping(1), Replication(1), Repo(1), the QuantLib documentation and website at https://www.quantlib.org, http://www.gs.com/qs/doc/when_you_can- not_hedge.pdf AUTHORS The QuantLib Group (see Contributors.txt). This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib. QuantLib 20 September 2001 DISCRETEHEDGING(1)
NAME | SYNOPSIS | DESCRIPTION | SEE ALSO | AUTHORS
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