Discount factor of a Solar Option

Discount factor of a Solar Option

solarOption_discount(tau, P = 1, Gamma_h = 0, r = 0.03/365)

Arguments

tau

Numeric, time to maturity in days.

P

Numeric, price of the contract.

Gamma_h

Numeric, hedged payoff.

r

Numeric, daily risk-free rate.

Details

The discount factor reads: $$B(\tau, P, \Gamma^h, r) = e^{-r \tau} + \frac{\Gamma^h}{P} (1 - e^{-r \tau})$$

Note

Version 1.0.0.

Examples