Class LocalRiskMinimizingHedgePortfolio

  • All Implemented Interfaces:
    Product, AssetMonteCarloProduct, MonteCarloProduct

    public class LocalRiskMinimizingHedgePortfolio
    extends AbstractAssetMonteCarloProduct
    This class implements a mean variance hedged portfolio of a given product (a hedge simulator). The hedge is done using a given model, that is, the model generating the states and the model used to calculate the hedge portfolio may be different!
    WARNING: If the model used for calculating the delta is "slow" (e.g., a Monte-Carlo simulation) then the calculation might take very long.
    Christian Fries