Find_lambda: Intermediate function

In belangerjulie15/Optimisation.Power.Utility: Functions: Optimizing with the Power Utility

Description

This function is an intermediate function and is needed for the function Find_lambda

Usage

Find_lambda(
  r_FL,
  alpha_FL,
  sigma_FL,
  gamma_FL,
  K_FL,
  b_FL,
  a_FL,
  T_FL,
  lambda_FL
)

Arguments

r_FL	Risk neural rate (striclty less than alpha_FL ), yearly composed
alpha_FL	Risky rate of return, yearly composed
sigma_FL	Volatility of the risky asset, yearly composed
gamma_FL	Paramater Gamma in the Power Utility function. Must be different than 0
K_FL	The constant that is added to the payoff (equal to b_o most of the time)
b_FL	The strike price of the call option (variable annuity)
a_FL	a_o The multiplicator factor of the call option (variable annuity)
T_FL	Maturity, yearly composed
lambda_FL	Lambda (Lagrange multiplicator)

Value

The initial asset value given a specific value of Lagrange multiplicator

Examples

Find_lambda(r_FL=0.02,alpha_FL=0.04,sigma_FL=0.3,gamma_FL=2,K_FL=1,b_FL=1,a_FL=1,T_FL=10,lambda_FL=0.18)

belangerjulie15/Optimisation.Power.Utility documentation built on May 13, 2020, 5:39 a.m.