compute_adjusted_factors: Compute Adjusted Up and Down Factors

In AsianOption: Asian Option Pricing with Price Impact

Compute Adjusted Up and Down Factors

Description

Calculates the modified up and down factors after incorporating price impact from hedging.

Usage

compute_adjusted_factors(u, d, lambda, v_u, v_d)

Arguments

u	Base up factor
d	Base down factor
lambda	Price impact coefficient
v_u	Hedging volume on up move
v_d	Hedging volume on down move

Value

List with elements u_tilde and d_tilde

Examples

compute_adjusted_factors(u = 1.2, d = 0.8, lambda = 0.1, v_u = 1, v_d = 1)

AsianOption documentation built on Dec. 23, 2025, 1:08 a.m.