CallDeltahedge( S,K,r,T,vol,n )
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 .
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- Computational Finance > Financial Toolbox > Portfolio Optimization and Asset Allocation >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Equity Derivatives >
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Version | Published | Release Notes | |
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1.0.0.0 |