mociepa/ShortfallRiskHedging: Shortfall Risk Hedging for european option

"Shortfall risk hedging" is a hedge that minimizes shortfall risk i.e. minimizes the expected shortfall value weighted by some loss function. The whole theory is included in my master's thesis, available or soon available on github. The package allows to find, calculate and hedge modified call or put option using the theoretical formulas calculated in a master thesis. The package also contains simple numerical algorithms, which allows to estimate and hedge modified european contingent when the original option is path independent.

install.packages("remotes")
remotes::install_github("mociepa/ShortfallRiskHedging")