DISCRETEHEDGING(1)

🎀 DISCRETEHEDGING(1) 🎀 General Commands Manual

Okay bestie, this is the manual page for DISCRETEHEDGING(1), filed under the General Commands Manual. 💖

✨ NAME ✨

DiscreteHedging is an example of using QuantLib 🦋

🧚 SYNOPSIS 🧚

DiscreteHedging

💅 DESCRIPTION 💅

Okay so DiscreteHedging is an example of using the QuantLib Monte Carlo simulation framework. It's giving proof that QuantLib can do the thing! 🔥

Highkey the best part: by running a simulation, DiscreteHedging works out the profit and loss of a discrete interval hedging strategy. Then it compares that outcome with the results from Derman and Kamal's Goldman Sachs Equity Derivatives Research Note "When You Cannot Hedge Continuously: The Corrections to Black-Scholes". Main character energy 👑

🔗 SEE ALSO 🔗

Bestie, here's where to go next 🌸

• 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 https://www.quantlib.org
• http://www.gs.com/qs/doc/when_you_cannot_hedge.pdf

👑 AUTHORS 👑

The QuantLib Group (see Contributors.txt) are the whole squad 🫶

This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib. Iykyk 💜

Bye bestie, this page comes from QuantLib and is dated 20 September 2001 🦋💖✨