R/Solve4Strike.R

In Reckziegel/DynamicStrategies: Convex vs Concave Portfolio Management

# Solve4Strike <- function(Strike,Time_to_Maturity, Stock_Value, Stock_Volatility,
#                          Riskfree_Rate, Initial_Investment, Maximum_Loss) {
#
#   d1 <- 1 / (Stock_Volatility * sqrt(Time_to_Maturity)) *
#     (log(Stock_Value / Strike) + (Riskfree_Rate * Stock_Volatility ^ 2 / 2) * Time_to_Maturity)
#   d2 <- d1 - Stock_Volatility * sqrt(Time_to_Maturity)
#
#   PV <- exp(-Riskfree_Rate * Time_to_Maturity)
#
#   Call_Price <- Stock_Value * stats::pnorm(d1, 0, 1) - PV * Strike * stats::pnorm(d2, 0, 1)
#
#   Guaranteed <- Initial_Investment - Maximum_Loss
#   Cash_Available <- Initial_Investment - PV * Guaranteed
#
#   K <- Cash_Available - Call_Price
#   K
#
# }