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 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), Fitted-
BondCurve(1), FRA(1), MarketModels(1), Replication(1), Repo(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.
QuantLib 20 September 2001 DISCRETEHEDGING(1)