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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 simulation
     framework.

     By simulation, DiscreteHedging computes profit and loss of a  discrete  in-
     terval  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), FittedBond-
     Curve(1),	FRA(1),  MarketModels(1),  MulticurveBootstrapping(1),	Replica-
     tion(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  De-
     bian GNU/Linux maintainer for QuantLib.

QuantLib			20 September 2001	      DISCRETEHEDGING(1)

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<https://man.freebsd.org/cgi/man.cgi?query=DiscreteHedging&sektion=1&manpath=FreeBSD+Ports+15.1.quarterly>

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