call_Newton_convex: Finding constant in modified option.

In mociepa/ShortfallRiskHedging: Shortfall Risk Hedging for european option

Finding constant in modified option.

Description

The call_Newton_convex function is used to find second constant L in modified call option.

Usage

call_Newton_convex(L1, strike, drift, rate, vol, p, epsilon = 1e-10)

Arguments

L1	numeric value, first constant L1 > K.
strike	numeric value, strike price for call option.
drift	numeric value, drift of the model.
rate	numeric value, risk free rate in the model, r >= 0.
vol	numeric value, volatility of the model, vol > 0.
p	numeric value, power of the loss function, p > 1.
epsilon	numeric value, acceptable calculation error

Details

There is a need to be careful when there is a warning message. It means that a numerical error occurred during the algorithm and the algorithm was terminated without a while loop

Value

A numeric value, a second constant for modified call option by convex function.

Examples

call_Newton_convex(140, 100, 0, 0.1, 0.2, 2)

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