Xi_put_price_explicit: Delta hedging for modified european put option

In mociepa/ShortfallRiskHedging: Shortfall Risk Hedging for european option

Delta hedging for modified european put option

Description

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

Usage

Xi_put_price_explicit(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 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, see details, 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 put option using x^p loss function.

Examples

put_price_explicit(100, 100, 0, 0.5, 0.05, 2, 0, 1, 76)
put_price_explicit(c(100, 120), 100, 0, 0.3, 0.05, 2, 0, 1, 35)
put_price_explicit(c(100, 120), 100, 0, 0.3, 0.05, 2, c(0, 0.5), 1, 50)

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