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DiscreteHedging - Online in the Cloud

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PROGRAM:

NAME

DiscreteHedging - 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".

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