This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.
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Updated
Feb 19, 2020 - Jupyter Notebook
This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.
Automatic Options Hedging and Backtesting
Option pricing and Delta hedging performance comparison between Black and Scholes vs Artificial Neural Network
Delta hedging under SABR model
Simulation of delta hedging
Algorithmic implementation of automated adjustment of delta hedged initialized short straddle deployed over Derivatives (Options) market
C++ implementation of a Dynamic Delta Hedging strategy for European Options. Delta Hedging is a great strategy for trying to create a neutral portfolio to minimize risk exposure.
Pricing and hedging of HKEX warrants in Python using Black Scholes, Implied Volatility and Delta Hedging. It is connected to HKEX and BOCI data source.
Calculate the Greeks for Uniswap V3 and setup LP positions with a target delta.
Backtest delta hedging investment strategy in Clojure
In this article, I present methods to efficiently estimate the price and the probability of exercise for vanilla and exotic options in R. In addition, I compare the empirical delta between European and average rate Asian options.
Option data analysis platform to track meaningful market maker flows.
🖥️🚀📈📉Algorithmic implementation of automated adjustment of delta hedged initialized short straddle deployed over Derivatives (Options) market
Implementation of option pricing using Black Scholes Model and delta hedging strategies on SPX data
Replicating Hull & White (2017) paper on minimum-variance delta hedging
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