Class BlackScholesDeltaHedgedPortfolio

  • All Implemented Interfaces:
    Product, AssetMonteCarloProduct, MonteCarloProduct

    public class BlackScholesDeltaHedgedPortfolio
    extends AbstractAssetMonteCarloProduct
    This class implements a delta hedged portfolio of an European option (a hedge simulator). The hedge is done under the assumption of a Black Scholes Model (even if the pricing model is a different one). The getValue-method returns the random variable \( \Pi(t) \) representing the value of the replication portfolio \( \Pi(t) = \phi_0(t) N(t) + \phi_1(t) S(t) \).
    Christian Fries