Class CallrnDeltaHedge

  extended byExamples.Hedging.CallrnDeltaHedge

public class CallrnDeltaHedge
extends java.lang.Object

Computes the reduction in the variance of the hedge error over the first hedge interval [0,dt] which true variance minimizing deltas Option.minimumVarianceDelta(int, int, int) yield compared to instantaneous analytic deltas. The reduction in variance is expressed as a percentage of the minimal variance and is computed for a variety of strikes and times to maturity. This then gives us a feeling how the varience of an entire hedge would be reduced by switching from analytic to true variance minimizing deltas.

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 CallrnDeltaHedge()
Method Detail


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