Delta and Gamma Hedging
Delta hedge a call option and then make it Gamma-neutral using additional call option with different strike price.
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Thanks to @ Mario Santos for the work of Delta Hedging.
You will need additional parameters like the new strike price to run the gamma hedge, the solving process might take a lot of time if you do more simulations, which can be modified by making the formulas vectorized. Feel free to contact zzhao67@jhu.edu if you have any questions and suggestions, which will be appreciated.
Cite As
Zhengjun Zhao (2026). Delta and Gamma Hedging (https://in.mathworks.com/matlabcentral/fileexchange/107919-delta-and-gamma-hedging), MATLAB Central File Exchange. Retrieved .
Acknowledgements
Inspired by: Delta hedging
General Information
- Version 1.0.0 (3.05 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0 |
