Using Python to Find the Replication Error if Delta Hedge a Trinomial Tree Option Over Many Short Periods
Authors
Nuoxing Shang1, Yujia Liu2, Zewei Lin3, *
1Jiangsu Tianyi High School, No.18 Erquan Road Xishan District Wuxing City Jiangsu Province, 214101
2Jiangsu Tianyi High School, No.18 Erquan Road Xishan District Wuxing City Jiangsu Province, 214101
3School of Economics and Finance, Queen Mary University of London, London E1 4NS, United Kingdom
*Corresponding author. Email: eltham_nj@hotmail.com
Corresponding Author
Zewei Lin
Available Online 8 April 2022.
- DOI
- 10.2991/assehr.k.220401.136How to use a DOI?
- Keywords
- Python; Delta hedgem; replication error; Monte-Carlo estimation
- Abstract
In this paper, the researcher creates a model for trinomial tree option pricing with multiple time periods by using Monte-Carlo estimation and Python. However, the delta hedging strategy needs to be improved to minimize the replication error.
- Copyright
- © 2022 The Authors. Published by Atlantis Press SARL.
- Open Access
- This is an open access article distributed under the CC BY-NC 4.0 license.
Cite this article
TY - CONF AU - Nuoxing Shang AU - Yujia Liu AU - Zewei Lin PY - 2022 DA - 2022/04/08 TI - Using Python to Find the Replication Error if Delta Hedge a Trinomial Tree Option Over Many Short Periods BT - Proceedings of the 2022 International Conference on Social Sciences and Humanities and Arts (SSHA 2022) PB - Atlantis Press SP - 713 EP - 718 SN - 2352-5398 UR - https://doi.org/10.2991/assehr.k.220401.136 DO - 10.2991/assehr.k.220401.136 ID - Shang2022 ER -