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SimulationOfDeltaHe​dgingStrategy

version 1.0.0.0 (16.3 KB) by Artur Sepp
Optimization of Sharpe Ratio for Delta-Hedging Strategy under Discrete Hedging and Transaction Costs

3 Downloads

Updated 06 Dec 2015

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% Implementation of the analytical approach for the optimization of the
% delta-hedging strategy under the discrete trading with transaction costs
%
% Based on the paper:
% Sepp, A. (2013), When You Hedge Discretely: Optimization of Sharpe Ratio for Delta-Hedging Strategy under Discrete Hedging and Transaction Costs,
% Journal of Investment Strategies, 2013, Vol. 3, No. 1, pp. 19-59
% available at SSRN: http://ssrn.com/abstract=1865998
%
% by Artur Sepp
% artursepp@gmail.com
% http://math.ut.ee/~spartak/
%
% Last Update: December 5, 2015
%
% Implemented functionality in this file:
%
% [1] Compute Optimal Delta-Hedging frequency and equivalent price and
% delta bands
%
% [2] Asset price dynamics can be simulated using four dynamics:
% 1-lognormal Black-Scholes-Merton
% 2 - jump-diffusion Merton model
% 3 - Heston stochastic volatility model
% 4 - Heston stochastic volatility model with jumps - Bates model
%
%
% This code is distributed via the mathworks file-exchange and it is covered by the BSD license
% This code is being provided solely for information and general illustrative purposes.
% The author will not be responsible for numbers produced from using the code.

Cite As

Artur Sepp (2021). SimulationOfDeltaHedgingStrategy (https://www.mathworks.com/matlabcentral/fileexchange/54345-simulationofdeltahedgingstrategy), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (1)

lydia thanasou

Thank you Arthur, that is really helpful.

MATLAB Release Compatibility
Created with R2014a
Compatible with any release
Platform Compatibility
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