1DISCRETEHEDGING(1)          General Commands Manual         DISCRETEHEDGING(1)
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NAME

6       DiscreteHedging - Example of using QuantLib
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SYNOPSIS

9       DiscreteHedging
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DESCRIPTION

12       DiscreteHedging is an example of using the QuantLib Monte Carlo simula‐
13       tion framework.
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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".
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SEE ALSO

22       The source code DiscreteHedging.cpp, BermudanSwaption(1),  Convertible‐
23       Bonds(1),  EquityOption(1), FRA(1), Replication(1), Repo(1), SwapValua‐
24       tion(1), the QuantLib documentation and website at http://quantlib.org,
25       http://www.gs.com/qs/doc/when_you_cannot_hedge.pdf
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AUTHORS

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