Calibrate the time series of theta to match a certain level of Option price — solarOption_calibrate_theta • solarr

Calibrate the time series of theta to match a certain level of Option price

solarOption_calibrate_theta(
  model,
  moments,
  P_target,
  put = TRUE,
  quiet = FALSE,
  control_options = control_solarOption()
)

Arguments

model: An object with the class solarModel. See the function solarModel for details.
P_target: Numeric, vector of target prices to match.
put: Logical, when TRUE, the default, will be computed the price for a put contract, otherwise for a call contract.
control_options: Named list with control parameters. See control_solarOption for more details.

Details

Version 1.0.0.