Visualize dynamic hedging

版本 1.0.0.0 (253.4 KB) 作者: Dimitri Shvorob
(via an interactive GUI)
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更新时间 2016/4/4

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Function HEDGEDEMO aims to help students and instructors of finance visualize trading demands of simple static or dynamic value-hedging strategies. In a single-factor setting, 2-asset hedge portfolios are constructed to match, at a point in time, value and delta of the hedged portfolio, consisting of 1-2 assets, one unit of each. (Delta is estimated by shifting the factor path by +/- 0.01). Factor dynamics are described by a Matlab expression or function that defines vector 'X' in terms of vector 'T', where T = StartDate:EndDate. With 'X' defined and evaluated, paths of asset prices are similarly given by Matlab expressions or functions inputting 'X' and 'T'.

引用格式

Dimitri Shvorob (2024). Visualize dynamic hedging (https://www.mathworks.com/matlabcentral/fileexchange/18498-visualize-dynamic-hedging), MATLAB Central File Exchange. 检索来源 .

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1.0.0.0

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