Xi_put_price: Delta hedging for european put option

In mociepa/ShortfallRiskHedging: Shortfall Risk Hedging for european option

Delta hedging for european put option

Description

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

Usage

Xi_put_price(asset, strike, rate, vol, time, End_Time)

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.
time	a numeric vector of actual time, time > 0.
End_Time	end time of the option, End_time >= time.

Value

A numeric vector, price of the european put option.

See Also

https://en.wikipedia.org/wiki/Black–Scholes_model.

Examples

Xi_put_price(100, 100, 0, 0.5, 0, 1)
Xi_put_price(c(100, 120), 100, 0, 0.3, 0, 1)
Xi_put_price(c(100, 120), 100, 0, 0.3, c(0, 0.5), 1)

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