kgeoffrey/AutoHedge.jl

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AutoHedge.jl This Julia package provides an implementation of automatic options hedging using automatic differentiation for obtaining the Greeks. The package allows users to easily create and backtest complicated hedging strategies for a portfolio of European Options and thier underlying asset. Installation To install the package, simply run the following command in the Julia REPL: using Pkg Pkg.add(url="https://github.com/kgeoffrey/AutoHedge.jl") Usage To use the automatic options hedging functionality...