A General Multidimensional Monte Carlo Approach for Dynamic Hedging under Stochastic Volatility

Algorithm 3

Pseudocode of the stochastic derivative and the hedging strategy .

Data: Partitions , Families , Step Processes , Maturity Time , Discretization

  Level , Number of Dimensions , Number of Stocks , Number of Simulations of the

  Conditional Expectation , Number of Simulations of the Stochastic Derivative

Result: Stochastic Derivatives , , Hedging Strategy

(1) Merge() Create the finest partition    from the partitions  

(2) for to do

(3) which ()   is the position of    in the finest partition  

(4)   for to do

(5)     for to do

(6)       Computations of  

(7)     concatenate () Vector of stochastic derivatives

(8)     Create the vector of hedging strategy  

(9)   mean() Hedging strategy