A trader sells a European call and hedges it over twelve steps by holding a fraction of a share between rebalances. As the underlying moves along a path, the hedge portfolio is marked to market; at expiry it should reproduce the option payoff. We choose the hedge ratio at each step to minimise squared replication error plus a transaction cost on every rebalance. The optimum tracks the option's delta along the path. 12-D problem.
| Algorithm | Error | Evals |
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| — no runs yet — | ||
The JS objective is a line-for-line port of
example_applications/options_hedging and agrees with it to floating-point
tolerance. The top panel shows the underlying path and strike; the bars show the
chosen hedge ratio at each step. This is a smooth, near-convex problem, so
trust-region methods do well.