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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). 
Examples.Hedging


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