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Use consistent parameters for the delta, slsg, and gamma hedges. Create multiple copies of spreadsheets to capture the data generated.

We still need to establish the relationship between the delta hedge interval and the limit order epsilon.

The time between re-hedging is constant for the current implementation of delta. We can collect statistics on the distribution of re-hedging times that occur using the gamma strategy. Use the mean as the delta hedge interval to compare respective P&L.

Calculate average and variance of hitting time.

Calculate average and variance of gamma mismatch.

Add transaction costs to delta hedge.

We still need to establish the relationship between the delta hedge interval and the limit order epsilon.

The time between re-hedging is constant for the current implementation of delta. We can collect statistics on the distribution of re-hedging times that occur using the gamma strategy. Use the mean as the delta hedge interval to compare respective P&L.

Calculate average and variance of hitting time.

Calculate average and variance of gamma mismatch.

Add transaction costs to delta hedge.

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