Provided by: quantlib-examples_1.7.1-1_amd64 bug

NAME
       DiscreteHedging - Example of using QuantLib


SYNOPSIS
       DiscreteHedging


DESCRIPTION
       DiscreteHedging is an example of using the QuantLib Monte Carlo simulation framework.

       By  simulation,  DiscreteHedging  computes  profit and loss of a discrete interval hedging
       strategy and compares with the outcome with the results  of  Derman  and  Kamal's  Goldman
       Sachs   Equity  Derivatives  Research  Note  "When  You  Cannot  Hedge  Continuously:  The
       Corrections to Black-Scholes".


SEE ALSO
       The source  code  DiscreteHedging.cpp,  BermudanSwaption(1),  Bonds(1),  CallableBonds(1),
       CDS(1), ConvertibleBonds(1), EquityOption(1), FittedBondCurve(1), FRA(1), MarketModels(1),
       Replication(1), Repo(1), SwapValuation(1),  the  QuantLib  documentation  and  website  at
       http://quantlib.org, http://www.gs.com/qs/doc/when_you_cannot_hedge.pdf


AUTHORS
       The QuantLib Group (see Authors.txt).

       This  manual  page  was  added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux
       maintainer for QuantLib.