compute_p_adj: Compute Adjusted Risk-Neutral Probability
In AsianOption: Asian Option Pricing with Price Impact
View source: R/price_impact_utils.R
compute_p_adj R Documentation
Compute Adjusted Risk-Neutral Probability
Description
Calculates the adjusted risk-neutral probability incorporating
price impact from hedging activities.
Usage
compute_p_adj(r, u, d, lambda, v_u, v_d)
Arguments
r
Gross risk-free rate per period
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
Adjusted risk-neutral probability (numeric)
Examples
compute_p_adj(r = 1.05, 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.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
View source: R/price_impact_utils.R
| compute_p_adj | R Documentation |
Compute Adjusted Risk-Neutral Probability
Description
Calculates the adjusted risk-neutral probability incorporating price impact from hedging activities.
Usage
compute_p_adj(r, u, d, lambda, v_u, v_d)
Arguments
r |
Gross risk-free rate per period |
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
Adjusted risk-neutral probability (numeric)
Examples
compute_p_adj(r = 1.05, u = 1.2, d = 0.8, lambda = 0.1, v_u = 1, v_d = 1)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.