Delta hedging
Version 1.0.0.0 (7.22 KB) by
Mario Santos
Delta hedging an option position using actual vs real volatility
This file simulates the effects on P&L that a delta hedging strategy for a long call option position in a non-dividend paying stock has whether actual / real volatility is used for the hedge. For further info, read Paul Wilmott's Introduces Quantitative Finance.
Cite As
Mario Santos (2024). Delta hedging (https://www.mathworks.com/matlabcentral/fileexchange/54952-delta-hedging), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
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R2015b
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- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Equity Derivatives >
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Acknowledgements
Inspired: Delta and Gamma Hedging
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1.0.0.0 |