P_Utility_con: Concavification of the Power Utility function

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

Description

Concavification of the Power Utility function

Usage

P_Utility_con(X_T_con, gamma_c, b_c, a_c, K_c)

Arguments

X_T_con	Risky asset value at time t
gamma_c	Paramater Gamma in the Power Utility function. Must be different than 0.
b_c	The strike price of the call option (variable annuity)
a_c	The multiplicator factor of the call option (variable annuity)
K_c	The constant that is added to the payoff (equal to b_o most of the time)

Value

The concavified Power Utility function

Examples

P_Utility_con(X_T_con=1.3,gamma_c=3,b_c=1,a_c=1,K_c=1)

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