Delta hedging

Version 1.0.0.0 (7.22 KB) by Mario Santos
Delta hedging an option position using actual vs real volatility
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Updated 17 Jan 2016

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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 (2026). Delta hedging (https://uk.mathworks.com/matlabcentral/fileexchange/54952-delta-hedging), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2015b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Acknowledgements

Inspired: Delta and Gamma Hedging

Version Published Release Notes
1.0.0.0