Man pages for mociepa/ShortfallRiskHedging
Shortfall Risk Hedging for european option
| binary_call_payoff | Calculate european binary call option payoff |
| binary_put_payoff | Calculate european binary put option payoff |
| Bisection_method | Bisection method |
| Bisection_method_MC | Bisection method for Monte Carlo simulations |
| calculate_option_value | Calculate option values |
| calculate_payoffs | Calculate payoffs from trajectories |
| call_const | Finding const value |
| call_finding_concave | Finding constant in modified option. |
| call_finding_convex | Finding constant in modified option. |
| call_finding_linear | Finding constant in modified option. |
| call_finding_modified | Finding constant in modified option. |
| call_Newton_concave | Finding constant in modified option. |
| call_Newton_convex | Finding constant in modified option. |
| call_payoff | Calculate european call option payoff |
| call_price | Calculate european call option |
| call_price_concave | Calculate modified european call option |
| call_price_convex | Calculate modified european call option |
| call_price_explicit | Calculate modified european call option |
| call_price_linear | Calculate modified european call option |
| d1 | d1 |
| d2 | d2 |
| delta_finite_difference | Hedging of the option |
| Eta | Delta hedging for european option |
| Eta_call_price | Delta hedging for european call option |
| Eta_put_price | Delta hedging for european put option |
| False_position_method | False position method |
| finding_parameters | Finite difference parameters |
| finite_difference_explicit | Explicit finite difference |
| generate_scenarios | Generate scenarios from Black-Scholes model |
| linear_interpolation | Linear interpolation |
| losses | Calculate gains/losses |
| matrix_eta | Hedging of the option |
| matrix_interpolation | Linear interpolation |
| option_concave_payoff | Calculate payoff from modificate european option |
| option_convex_payoff | Calculate payoff from modificate european option |
| option_linear_payoff | Calculate payoff from modificate european option |
| option_modificate_payoff | Calculate payoff from modificate european option |
| portfolio_valuation | Calculate payoffs from trajectories |
| put_const | Finding const value |
| put_finding_concave | Finding constant in modified option. |
| put_finding_convex | Finding constant in modified option. |
| put_finding_linear | Finding constant in modified option. |
| put_finding_modified | Finding constant in modified option. |
| put_Newton_concave | Finding constant in modified option. |
| put_Newton_convex | Finding constant in modified option. |
| put_payoff | Calculate european put option payoff |
| put_price | Calculate european put option |
| put_price_concave | Calculate modified european put option |
| put_price_convex | Calculate modified european put option |
| put_price_explicit | Calculate modified european put option |
| put_price_linear | Calculate modified european put option |
| Shortfall_risk | Calculate Shortfall risk |
| Xi_call_price | Delta hedging for european call option |
| Xi_call_price_concave | Delta hedging for modified european call option |
| Xi_call_price_convex | Delta hedging for modified european call option |
| Xi_call_price_explicit | Delta hedging for modified european call option |
| Xi_call_price_linear | Delta hedging for modified european call option |
| Xi_put_price | Delta hedging for european put option |
| Xi_put_price_concave | Delta hedging for modified european put option |
| Xi_put_price_convex | Delta hedging for modified european put option |
| Xi_put_price_explicit | Delta hedging for modified european put option |
| Xi_put_price_linear | Delta hedging for modified european put option |
