Hedging
Class OptionHedge

java.lang.Object
  Hedging.Hedge
      Hedging.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

OptionHedge

public OptionHedge(Asset underlying,
                   Option option,
                   double fixed_trc,
                   double prop_trc)

Parameters:

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

weight

public abstract double weight(int t)

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

Parameters:

t - current time.

main

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

Test program. Allocates a delta hedge. Checks if initialization goes through.