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
  • Constructor Details

    • BlackScholesDeltaHedgedPortfolio

      public BlackScholesDeltaHedgedPortfolio(double maturity, double strike, double riskFreeRate, double volatility)
      Construction of a delta hedge portfolio assuming a Black-Scholes model.
      maturity - Maturity of the option we wish to replicate.
      strike - Strike of the option we wish to replicate.
      riskFreeRate - Model riskFreeRate assumption for our delta hedge.
      volatility - Model volatility assumption for our delta hedge.
  • Method Details