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This file simulates the effects on P&L that a delta hedging strategy for a long call option position in a non-dividend paying stock has whether actual / real volatility is used for the hedge. For further info, read Paul Wilmott's Introduces Quantitative Finance.
Cite As
Mario Santos (2026). Delta hedging (https://www.mathworks.com/matlabcentral/fileexchange/54952-delta-hedging), MATLAB Central File Exchange. Retrieved .
Acknowledgements
Inspired: Delta and Gamma Hedging
General Information
- Version 1.0.0.0 (7.22 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
