Black Scholes Hedging Sim
financepy.models.black_scholes_hedging_sim
Classes
HedgePathResult
HedgePathResult(history: pandas.core.frame.DataFrame | None, hedging_error: float, terminal_stock_price: float, option_payoff: float, initial_option_value: float, total_transaction_costs: float) -> None
Results from one delta-hedged European option path.
HedgeSimulationResult
HedgeSimulationResult(hedging_errors: numpy.ndarray, terminal_stock_prices: numpy.ndarray, option_payoffs: numpy.ndarray, transaction_costs: numpy.ndarray, initial_option_value: float) -> None
Results from a multi-path delta-hedging simulation.
Methods
num_paths
No description available.
mean_hedging_error
No description available.
std_hedging_error
No description available.
rmse
No description available.
mean_transaction_cost
No description available.
summary
summary(self) -> pandas.core.series.Series
No description available.
plot_hedging_error_vs_terminal_stock_price
plot_hedging_error_vs_terminal_stock_price(self)
Plot terminal stock price against terminal hedging error.
Functions
simulate_hedge_paths
simulate_hedge_paths(num_paths: int, num_options: int, option_type_int: int, stock_price: float, strike_price: float, risk_free_rate: float, dividend_yield: float, implied_volatility: float, realized_volatility: float, time_to_expiry: float, num_steps: int = 252, stock_drift: float | None = None, transaction_cost_rate: float = 0.0, seed: int | None = None) -> financepy.models.black_scholes_hedging_sim.HedgeSimulationResult
No description available.
simulate_single_hedge_path
simulate_single_hedge_path(num_options: int, option_type_int: int, stock_price: float, strike_price: float, risk_free_rate: float, dividend_yield: float, implied_volatility: float, realized_volatility: float, time_to_expiry: float, num_steps: int = 252, stock_drift: float | None = None, transaction_cost_rate: float = 0.0, rng: numpy.random._generator.Generator | None = None, store_history: bool = True) -> financepy.models.black_scholes_hedging_sim.HedgePathResult
Simulate one delta-hedged European option path.
The hedge calculation itself is performed entirely by
_simulate_single_path_kernel().
Generated automatically from the FinancePy source code.
Do not edit this file manually.