Find_x_theta_PU: Concavification Technique
In belangerjulie15/Optimisation.Power.Utility: Functions: Optimizing with the Power Utility
Description
Usage
Arguments
Value
Examples
Description
Finds the value of the concavification point in Carpenter (2000); the point that makes an optimisation function concave again
Usage
1
Find_x_theta_PU(b_o, a_o, K_o, gamma_o)
Arguments
b_o
The strike price of the call option (variable annuity)
a_o
The multiplicator factor of the call option (variable annuity)
K_o
The constant that is added to the payoff (equal to b_o most of the time)
gamma_o
Paramater Gamma in the Power Utility function. Must be different than 0
Value
The concavification point
Examples
1
Find_x_theta_PU(1,1,1,2)
belangerjulie15/Optimisation.Power.Utility documentation built on May 13, 2020, 5:39 a.m.
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Description Usage Arguments Value Examples
Description
Finds the value of the concavification point in Carpenter (2000); the point that makes an optimisation function concave again
Usage
1 | Find_x_theta_PU(b_o, a_o, K_o, gamma_o)
|
Arguments
b_o |
The strike price of the call option (variable annuity) |
a_o |
The multiplicator factor of the call option (variable annuity) |
K_o |
The constant that is added to the payoff (equal to b_o most of the time) |
gamma_o |
Paramater Gamma in the Power Utility function. Must be different than 0 |
Value
The concavification point
Examples
1 | Find_x_theta_PU(1,1,1,2)
|
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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