Calibrate the implied Choquet parameter

solarOption_lambda(
  model,
  moments,
  P_target,
  r_imp = 0,
  put = TRUE,
  quiet = FALSE,
  control_options = control_solarOption()
)

Arguments

model: An object with the class solarModel. See the function solarModel for details.
moments: Tibble containing the forecasted moments for different days ahead. See the function solarMoments for more details.
P_target: Numeric, target price to match.
r_imp: Numeric, implied return from measure under P.
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

The optimization function will find the best parameter $\lambda$ such that $$\underset{-0.5 < \lambda < 1}{\text{argmin}} \left(P^{\mathbb{P}(\lambda)} (1 + r^{\text{imp}}) - P_{\text{target}}\right)^2$$

Note

Version 1.0.0.