delta-hedg

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EmmaMuhleman1 / local-vol-model-optimal-delta-hedging

Develops Local Volatility model to compute min variance delta, adjusted for Vol Smile and changes in vol futures surface curve (allows more precise delta hedging)

market delta derivatives gamma volatility microstructure hedging derivatives-pricing volatility-modeling volatility-smile volatilit-surface delta-hedg

Updated Jan 20, 2026
Python

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