2 results found Sort:

kgeoffrey
AutoHedge.jl kgeoffrey
12
60
mit
5
Automatic Options Hedging and Backtesting
hedging options delta-hedging options-trading hedging-strategy delta-gamma-hedge options-strategies quantitative-finance greeks-neutralization automatic-differentiation
Created 2019-09-24
62 commits to master branch, last one about a year ago
bradleyboyuyang
Optimal-Hedging bradleyboyuyang
8
25
apache-2.0
1
Delta hedging under SABR model
sabr-model delta-hedging hedging-strategy model-calibration implied-volatility nonlinear-optimization
Created 2024-05-14
20 commits to master branch, last one 9 months ago