Class CallHedgeHistogram

  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
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


public CallHedgeHistogram()
Method Detail


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