Examples.Hedging
Class CallHedgeHistogram

java.lang.Object
  extended byExamples.Hedging.CallHedgeHistogram

public class CallHedgeHistogram
extends java.lang.Object

Histogram of hedge gains. A European call on a constant volatility asset is hedged using analytic deltas. Hedge is rebalanced as soon as the asset price changes 10%. Computes and displays a histogram of the hedge gains and also of the naked short in the call.

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


Constructor Summary
CallHedgeHistogram()
           
 
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
 

Constructor Detail

CallHedgeHistogram

public CallHedgeHistogram()
Method Detail

main

public static void main(java.lang.String[] args)