Examples.Hedging
Class CallDeltaHedge

java.lang.Object
  extended byExamples.Hedging.CallDeltaHedge

public class CallDeltaHedge
extends java.lang.Object

Computes mean and standard deviation of the call hedge profit over a variety of strikes and maturities. Compares the performance of classical analytic deltas with analytic market deltas and analytic quotient deltas.

The hedge is rebalanced at each time step. Paths of the underlying are simulated in the market probability. Output is written to the file "CallDeltaHedge.txt".

Console program, no user interaction. All parameters fixed in source code.


Method Summary
static void main(java.lang.String[] args)
           
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Method Detail

main

public static void main(java.lang.String[] args)
                 throws java.io.IOException
Throws:
java.io.IOException