1DISCRETEHEDGING(1)          General Commands Manual         DISCRETEHEDGING(1)
2
3
4

NAME

6       DiscreteHedging - Example of using QuantLib
7

SYNOPSIS

9       DiscreteHedging
10

DESCRIPTION

12       DiscreteHedging is an example of using the QuantLib Monte Carlo simula‐
13       tion framework.
14
15       By simulation, DiscreteHedging computes profit and loss of  a  discrete
16       interval  hedging  strategy  and  compares  with  the  outcome with the
17       results of Derman and Kamal's Goldman Sachs Equity Derivatives Research
18       Note  "When  You  Cannot  Hedge Continuously: The Corrections to Black-
19       Scholes".
20

SEE ALSO

22       The source  code  DiscreteHedging.cpp,  BermudanSwaption(1),  Bonds(1),
23       CallableBonds(1), CDS(1), ConvertibleBonds(1), EquityOption(1), Fitted‐
24       BondCurve(1),  FRA(1),   MarketModels(1),   MulticurveBootstrapping(1),
25       Replication(1),  Repo(1),  the  QuantLib  documentation  and website at
26       http://quantlib.org, http://www.gs.com/qs/doc/when_you_cannot_hedge.pdf
27
28

AUTHORS

30       The QuantLib Group (see Contributors.txt).
31
32       This manual page was added by Dirk Eddelbuettel  <edd@debian.org>,  the
33       Debian GNU/Linux maintainer for QuantLib.
34
35
36
37QuantLib                       20 September 2001            DISCRETEHEDGING(1)