SimulationOfDeltaHe​dgingStrategy

Optimization of Sharpe Ratio for Delta-Hedging Strategy under Discrete Hedging and Transaction Costs

% Implementation of the analytical approach for the optimization of the
% delta-hedging strategy under the discrete trading with transaction costs
%
% Based on the paper:
% Sepp, A. (2013), When You Hedge Discretely: Optimization of Sharpe Ratio for Delta-Hedging Strategy under Discrete Hedging and Transaction Costs,
% Journal of Investment Strategies, 2013, Vol. 3, No. 1, pp. 19-59
% available at SSRN: http://ssrn.com/abstract=1865998
%
% by Artur Sepp
% [e-mail]
% http://math.ut.ee/~spartak/
%
% Last Update: December 5, 2015
%
% Implemented functionality in this file:
%
% [1] Compute Optimal Delta-Hedging frequency and equivalent price and
% delta bands
%
% [2] Asset price dynamics can be simulated using four dynamics:
% 1-lognormal Black-Scholes-Merton
% 2 - jump-diffusion Merton model
% 3 - Heston stochastic volatility model
% 4 - Heston stochastic volatility model with jumps - Bates model
%
%
% This code is distributed via the mathworks file-exchange and it is covered by the BSD license
% This code is being provided solely for information and general illustrative purposes.
% The author will not be responsible for numbers produced from using the code.