Class OptionHedge

  extended byHedging.Hedge
      extended byHedging.OptionHedge

public abstract class OptionHedge
extends Hedge

Hedge using a TradingStrategy defined by the the abstract method weight(int) trading in the underlying to hedge the change in option value. The hedge is rebalanced at each time step.

Constructor Summary
OptionHedge(Asset underlying, Option option, double fixed_trc, double prop_trc)
Method Summary
static void main(java.lang.String[] args)
          Test program.
abstract  double weight(int t)
          New number of shares of the underlying held at time t.
Methods inherited from class Hedging.Hedge
discountedHedgeGain, discountedHedgeGainAndNumberOfTrades, get_hedgeStrategy, get_option, get_underlying, hedgeMeanAndStandardDeviation, hedgeMeanAndStandardDeviation, hedgeStatistics, newDiscountedHedgeGain, newDiscountedHedgeGainAndNumberOfTrades, newHedgeStatistics
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail


public OptionHedge(Asset underlying,
                   Option option,
                   double fixed_trc,
                   double prop_trc)
underlying - asset underlying the option.
option - option to be hedged.
fixed_trc - fixed transaction costs per trade.
prop_trc - proportional transaction costs per trade.
Method Detail


public abstract double weight(int t)

New number of shares of the underlying held at time t.

t - current time.


public static void main(java.lang.String[] args)
Test program. Allocates a delta hedge. Checks if initialization goes through.