This is the command DiscreteHedging that can be run in the OnWorks free hosting provider using one of our multiple free online workstations such as Ubuntu Online, Fedora Online, Windows online emulator or MAC OS online emulator
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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