Bisection_method: Bisection method

In mociepa/ShortfallRiskHedging: Shortfall Risk Hedging for european option

Bisection method

Description

The Bisection_method function is used to find const L in modified call and put option.

Usage

Bisection_method(option_value, a0, b0, FUN, ..., epsilon = 1e-7)

Arguments

option_value	numeric value, price of the modified option.
a0	numeric value, lower boundary of the range.
b0	numeric value, upper boundary of the range.
FUN	the function to be applied, explicit formula for the option price.
...	arguments to FUN.
epsilon	calculation error.

Value

A numeric value, a constant for which the price of the modified option is equal to option_value.

See Also

https://en.wikipedia.org/wiki/Bisection_method

Examples

Bisection_method(5, 100, 500, call_price_linear, asset = 100, strike = 100, rate = 0, vol = 0.3, drift = 0.1, time = 0, End_Time = 1)

mociepa/ShortfallRiskHedging documentation built on Sept. 30, 2022, 6:43 p.m.