put_const: Finding const value

In mociepa/ShortfallRiskHedging: Shortfall Risk Hedging for european option

Finding const value

Description

The put_const function computes a constant from the overall model.

Usage

put_const(L, strike, drift, rate, vol, p)

Arguments

L	numeric value, const value from the formulas for the modified put options.
strike	numeric value, strike of the put option.
drift	numeric value, drift of the asset in the model.
rate	numeric value, risk free rate in the model rate >= 0.
vol	numeric value, volatility of the model, vol > 0.
p,	numeric value, power of the loss function.

Value

A numeric value, const from the overall model.

Examples

put_const(110, 100, 0.1, 0, 0.3, 1)
put_const(90, 100, 0.1, 0, 0.3, 2)

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