Skip to content

Apply option pricing theory to run a daily delta gamma hedging simulation on European Call using VBA.

Notifications You must be signed in to change notification settings

Raymondrz/Delta-Gamma-Hedging-Simulation

Folders and files

NameName
Last commit message
Last commit date

Latest commit

 

History

4 Commits
 
 
 
 
 
 

Repository files navigation

Delta-Gamma-Hedging-Simulation

Apply option pricing theory to run a daily delta gamma hedging simulation on European Call using VBA. Calculate major greeks (delta and gamma), rebalance position and profit.

About

Apply option pricing theory to run a daily delta gamma hedging simulation on European Call using VBA.

Resources

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published