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I learned some of the basic theory of Bjork (chap 1-9)

and would now like to study some (discrete delta) hedging using programming software.

We had an exercise in school where we hedged a call option by investing its delta in the underlying stock, and keeping the portfolio self-financing using the bank.

I thought this was very interesting, and liked the programming aspect of it, and would like to know if there is some reference that studies this a bit more professionally and rigorously, studying convergence issues, optimal hedging strategies, applications to more exotic options, etc.

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