Eta: Delta hedging for european option

In mociepa/ShortfallRiskHedging: Shortfall Risk Hedging for european option

Delta hedging for european option

Description

The Eta function takes parameters from Black-Scholes model and returns amount of money needed to hedge an european option.

Usage

Eta(asset, Xi, rate, option_price, time)

Arguments

asset	a numeric vector of asset prices.
Xi	a numeric vector, number of asset needed to hedge an option
rate	numeric value, risk free rate in the model, r >= 0.
option_price	a numeric vector of option prices
time	a numeric vector of actual time, time >= 0.

Value

A numeric vector, amount of money needed to hedge an option.

Examples

Eta(100, 0.5596177, 0, 11.92354, 0)
Eta(c(100, 120), c(0.5596177, 0.7756962), 0, c(11.92354, 25.44056), 0)
Eta(c(100, 120), c(0.5596177, 0.8328623), 0, c(11.92354, 22.50378), c(0, 0.5))

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