Class FiniteDifferenceHedgedPortfolio

  • All Implemented Interfaces:
    Product, AssetMonteCarloProduct, MonteCarloProduct

    public class FiniteDifferenceHedgedPortfolio
    extends AbstractAssetMonteCarloProduct
    This class implements a delta and delta-gamma 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). In case of the gamma hedge and the vega hedge, note that we make the assumption that the market trades these option according to Black-Scholes parameters assumed in hedging. While this is a simple model, it is to some extend reasonable, when we assume that the hedge is done by calculating delta from a calibrated model (where the risk free rate and the volatility are "market implied"). That said, this class evaluates the hedge portfolio given that the market implies a given risk free rate and volatility, while the underlying follows a given (possibly different) stochastic process.
    finmath-lib 4.1.0
    Christian Fries