Xi_call_price_concave: Delta hedging for modified european call option

In mociepa/ShortfallRiskHedging: Shortfall Risk Hedging for european option

Delta hedging for modified european call option

Description

The Xi_call_price_concave function takes parameters from Black-Scholes model and returns a number of stock needed to fully hedge modified european call option.

Usage

Xi_call_price_concave(asset, strike, rate, vol, drift, p, time, End_Time, L, L2 = NA)

Arguments

asset	a numeric vector of asset prices.
strike	numeric value, strike price for call or put option.
rate	numeric value, risk free rate in the model, r >= 0.
vol	numeric value, volatility of the model, vol > 0.
drift	numeric value, drift of the model.
p	numeric positive value, power of the loss function, p < 1.
time	a numeric vector of actual time, time > 0.
End_Time	end time of the option, End_time >= time.
L	numeric value, determines option payoff, L > 0.
L2	numeric value, determines option payoff, if L2 = NA, but is needed, function finds it with Newton's algorithm.

Value

A numeric vector, number of asset to hedge modification of european call option using concave loss function.

Examples

Xi_call_price_concave(100, 100, 0, 0.5, 0.05, 0.5,  0, 1, 105)
Xi_call_price_concave(c(100, 120), 100, 0, 0.3, 0.05, 0.5, 0, 1, 105)
Xi_call_price_concave(c(100, 120), 100, 0, 0.3, 0.05, 0.5, c(0, 0.5), 1, 105)

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