call_finding_modified: Finding constant in modified option.

In mociepa/ShortfallRiskHedging: Shortfall Risk Hedging for european option

Finding constant in modified option.

Description

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

Usage

call_finding_modified(asset, strike, rate, vol, drift, p, time, End_Time, option_value, FUN, ...)

Arguments

asset	a numeric value of asset prices.
strike	numeric value, strike price for call 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 > 0.
time	a numeric value of actual time, time > 0.
End_Time	end time of the option, End_time >= time.
option_value	numeric value, price of the modified option.
FUN	the function to be applied, numeric method to find constant.
...	arguments to FUN.

Details

If an error occurs: "Too large option_value or wrong initial values. Select other parameters." occur, try to use the function Bisection_method function with different a0 and b0 parameter.

Value

A numeric vector, a constants for which the price of the modified option is equal to option_value.

Examples

call_finding_modified(100, 100, 0, 0.3, 0.1, 2, 0, 1, 7, Bisection_method)
call_finding_modified(100, 100, 0, 0.3, 0.1, 1, 0, 1, 7, Bisection_method)

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