/Dynamic-Delta-Hedging

Project on Simulating Stock Paths and Option Prices and Dynamic Hedging along its lifetime

Primary LanguageJupyter Notebook

Dynamic Delta Hedging

Project on Simulating Stock Paths and Option Prices and Dynamic Hedging along its lifetime

This Code Blocks project has 3 classes and a main file-

  1. main.cpp - This has the actual code implementation along with running unit test cases.
  2. Option class - Is the standard Option class with all its functionalities and Option attributes. Functions - BlacK Scholes price and delta calculation.
  3. unit_test class - Is the class that is used to run the unit test cases.

4 output files are generated from the code - Task 1

  1. Stock Path Simulation
  2. Option Price Simulation
  3. Hedge Error (Simulation) Task 2
  4. result file

5 code files in total. Location: \Dynamic-Delta-Hedging\ProjectMid6767\ProjectMid6767

There is ProjectMid6767.exe (which is Windows App) is located in \Dynamic-Delta-Hedging\ProjectMid6767\Debug\ProjectMid6767.exe which has built the project and runs the program. The .exe file can be run to implement to code.

The Jypyter notebook for analysis is at \Dynamic-Delta-Hedging\analysis_notebook.ipynb