Package Examples.Hedging

Package description: Examples.Hedging

See:
Description

Class Summary

CallDeltaHedge	Computes mean and standard deviation of the call hedge profit over a variety of strikes and maturities.
CallHedgeHistogram	Histogram of hedge gains.
CallHedgeStatistics	Computes the mean and standard deviation of the profit/loss from hedging a European call and several other statistics associated with the hedge.
CallHedgeVariance	Disregard.
CallmDeltaHedge	Computes mean and standard deviation of call hedge P&L over a variety of strikes and maturities.
CallrnDeltaHedge	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.
DrawCHGraphs_1	European calls on a constant volatility asset are hedged and the mean and standard deviation of the hedge profit and loss computed as a function of the strike price K.
DrawCHGraphs_2	European calls on a constant volatility asset are hedged with analytic deltas and the mean and standard deviation of the hedge profit and loss computed as a function of the volatility sigma used in the computation of the hedge deltas.
ImpliedVolatilitySmile	Computes the implied volatility derived from the price at which a call is sold as a function of the strike price.
JumpCallHedgeStatistics	Same as CallHedgeStatistics except that the underlying asset is a JumpAsset.
OptionExchangeAssets	Monte Carlo and Analytic price of the option to exchange assets on a basic asset pair (constant instantaneous volatility and correlation of returns).

Package Examples.Hedging Description

Package description: Examples.Hedging

This package contains simple examples computing the histogram of outcomes of delta hedges and others which compute various statistics associated with such hedges. In all cases the option hedged is a European call on a single asset or the option to exchange assets. Various different hedge weights are employed and their efficiency compared.