K[sigma_, k_, zeta_, Ka_, K_, Ko_, V_, S_] :=
x /. FindRoot[gs[sigma, k, zeta, Ka, x, Ko, V, S] == 0, {x, 100}][[1]]
Plot[{psi[sigmab, kb, zetab, Kab,
K[sigmab, kb, zetab, Kab, x, Kob, sqrtVb^2, Sb], Kob, sqrtVb^2, Sb,
x, Tb],
phi[sigmab, kb, zetab, Kab,
K[sigmab, kb, zetab, Kab, x, Kob, sqrtVb^2, Sb], Kob, sqrtVb^2, Sb,
x, Tb],
1 - (psi[sigmab, kb, zetab, Kab,
K[sigmab, kb, zetab, Kab, x, Kob, sqrtVb^2, Sb], Kob, sqrtVb^2,
Sb, x, Tb] +
phi[sigmab, kb, zetab, Kab,
K[sigmab, kb, zetab, Kab, x, Kob, sqrtVb^2, Sb], Kob, sqrtVb^2,
Sb, x, Tb])}, {x, 0, 10}]
This is an example. gs is the function to compute the delta of the structured product. Findroot finds the value of the strike price of a call option included in the structured product for which the structured product is delta neutral (gs=0).