DiscreteHedging(1) Example of using QuantLib

SYNOPSIS

DiscreteHedging

DESCRIPTION

DiscreteHedging is an example of using the QuantLib Monte Carlo simulation framework.

By simulation, DiscreteHedging computes profit and loss of a discrete interval hedging strategy and compares with the outcome with the results of Derman and Kamal's Goldman Sachs Equity Derivatives Research Note "When You Cannot Hedge Continuously: The Corrections to Black-Scholes".

AUTHORS

The QuantLib Group (see Authors.txt).

This manual page was added by Dirk Eddelbuettel <[email protected]>, the Debian GNU/Linux maintainer for QuantLib.