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,
) -> 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,
) -> 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.