Shortfall_risk: Calculate Shortfall risk

In mociepa/ShortfallRiskHedging: Shortfall Risk Hedging for european option

Calculate Shortfall risk

Description

The Shortfall risk function takes payoff from option, and their modife version and returns a mean of shortfall weighted by x^p function.

Usage

Shortfall_risk(payoff, modificate_payoff, p, rate, End_Time = 1, is_discounted = FALSE)

Arguments

payoff	a numeric vector of option payoff from trajectory simulations.
modificate_payoff	a numeric vector of modife option payoff from trajectory simulations.
p	numeric value, power of the loss function, p > 0.
rate	numeric value, risk free rate in the model, rate >= 0.
End_Time	numeric value, end time of the option.
is_discounted	logical value, if TRUE, payoff and modificate_payoff will be discounted.

Examples

Shortfall_risk(5, 4, 1, 0.05, 1)
Shortfall_risk(c(100, 120), c(100, 107.5), 3, 0.05, TRUE)

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