├── .gitattributes ├── .gitignore ├── LICENSE ├── README.md ├── data ├── option20230201_20230228.csv └── option20230228.csv ├── optimal_hedging.ipynb ├── papers ├── Bartlett2006_HedgingUnderSABRModel.pdf ├── Cao2021_Deep Hedging.pdf ├── Hagan2020_BartlettDelta.pdf └── Hull2017_Optimal Delta Hedging.pdf ├── presentation ├── SABR_Model_and_Delta_Hedging.pdf └── imgs │ ├── bartlett.png │ ├── comparison.png │ ├── dt_bart.png │ ├── dt_sabr.png │ ├── gain_relative.png │ ├── gain_sse.png │ ├── gain_std.png │ ├── impliedvol.png │ ├── param.png │ └── sigma0.png └── sabr_calibration.ipynb /.gitattributes: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/bradleyboyuyang/Optimal-Hedging/HEAD/.gitattributes -------------------------------------------------------------------------------- /.gitignore: -------------------------------------------------------------------------------- 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