C++ Hedging Strategy

The objective of this project is to test various hedging strategies and compare their performance. The project focuses on three different hedging scenarios: hedging in discrete time, hedging in the presence of transaction costs and hedging with different estimates of volatility. Below is a few scenarios which were tested during the project implementation. Hedging in Discrete Time Hedging in the Presence of Transaction Cost Hedging with Different Estimates of Volatility Constant hedging interval without transaction cost Simplest volatility estimate Daily with transaction cost Close-to-close Weekly Leland Adjusted close-to-close Monthly Hoggard Whalley & Wilmott Parkinson Other strategies Garman & Klass Optimal hedge frequency Rogers & Satchell Hedge on absolute price change Please contact me for all the relavent documentations and datas.