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This project use simulated stock price data based on Geometric Brownian motion for both the underlying stock for portfolio and the underlying stock for traded option, and then use the simulated data to verify whether daily Gamma hedging really hedge the risks.

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Ruomo123/Verify-Gamma-Hedging-Using-Simulated-Stock-Data

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Verify-Gamma-Hedging-Using-Simulated-Stock-Data-

This project use simulated stock price data based on Geometric Brownian motion for both the underlying stock for portfolio and the underlying stock for traded option, and then use the simulated data to verify whether daily Gamma hedging really hedge the risks.

Programming Language Used: MATLAB

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This project use simulated stock price data based on Geometric Brownian motion for both the underlying stock for portfolio and the underlying stock for traded option, and then use the simulated data to verify whether daily Gamma hedging really hedge the risks.

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