CallDeltahedge( S,K,r,T,vol,n )

Version 1.0.0.0 (2.62 KB) by Dimosthenis Karaflos
This functon calculates the final P&L from a delta hedging strategy of a short call option!!
5.0
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270 Downloads
Updated 20 Feb 2015

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This function assumes that the hedger is short on a call option and hedges this call with a numbr of total rebalances of his portfolio ( this number is an input from the user) and the output is the mean P&L, the volatility of the final P&L and the P&L Histogram. Note that we need to input many stock paths to get the perfect results but the fixed simulations are 100. The user may change that but the calculation time may take many minutes !!

Cite As

Dimosthenis Karaflos (2024). CallDeltahedge( S,K,r,T,vol,n ) (https://www.mathworks.com/matlabcentral/fileexchange/49784-calldeltahedge-s-k-r-t-vol-n), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.0.0.0