Automatic Options Hedging and Backtesting

This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.

Delta hedging under SABR model

Option pricing and Delta hedging performance comparison between Black and Scholes vs Artificial Neural Network

Simulation of delta hedging

Algorithmic implementation of automated adjustment of delta hedged initialized short straddle deployed over Derivatives (Options) market

C++ implementation of a Dynamic Delta Hedging strategy for European Options. Delta Hedging is a great strategy for trying to create a neutral portfolio to minimize risk exposure.

A Python-based trading bot designed to identify and trade mispriced options using the Schwab API. The bot automatically submits limit orders on options it detects as mispriced, and once the orders are filled, it delta hedges the positions to manage risk.

Calculate the Greeks for Uniswap V3 and setup LP positions with a target delta.

Pricing and hedging of HKEX warrants in Python using Black Scholes, Implied Volatility and Delta Hedging. It is connected to HKEX and BOCI data source.

Option data suite capable of pinpointing intra-day high/lows before they happen based on "Auction Market Theory" and delta weighted volume analysis of the 0 DTE option chain for indexes.

Backtest delta hedging investment strategy in Clojure

No description provided.

A personal deep dive into the world of risk neutral hedging using options (delta/gamma/vega hedging)

In this article, I present methods to efficiently estimate the price and the probability of exercise for vanilla and exotic options in R. In addition, I compare the empirical delta between European and average rate Asian options.

Delta hedging of European options in the Black-Scholes framework, with transaction costs and different rebalancing frequencies

🖥️🚀📈📉Algorithmic implementation of automated adjustment of delta hedged initialized short straddle deployed over Derivatives (Options) market

Replicating Hull & White (2017) paper on minimum-variance delta hedging

implementation of (dynamic) delta hedging using IBKR API

Implementation of option pricing using Black Scholes Model and delta hedging strategies on SPX data

No description provided.

Options market maker simulation with binomial tree pricing, Greeks calculation, and automated delta hedging.

Implied volatility surface construction (SVI), hand-rolled Black-Scholes Greeks, Newton-Raphson IV solver, and delta-hedged options backtesting with full P&L attribution across theta, gamma, and vega.