Examples.Hedging
Class CallrnDeltaHedge

java.lang.Object
  Examples.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

CallrnDeltaHedge()

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

CallrnDeltaHedge

public CallrnDeltaHedge()

Method Detail

main

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

Throws:

java.io.IOException