CallOptionsOverTime: Time Sensitivity Analysis for European Call Option

In armaOptions: ARMA Models to Value Stock Options

Time Sensitivity Analysis for European Call Option

Description

This function calculates the value of the a European call option for a list of future time values, given stock price data and a given buy value.

Usage

CallOptionsOverTime(
  stock_data,
  future_times,
  buy_value,
  max.p = 5,
  max.q = 5,
  method = "CSS-ML"
)

Arguments

stock_data	Numeric vector of stock prices data.
future_times	Numeric vector of the future times
buy_value	Numeric value representing the buy value
max.p	The maximum order of the autoregressive part of the ARMA model (default is 5).
max.q	The maximum order of the moving average part of the ARMA model (default is 5).
method	The way that the ARMA model is calculated, accepted values are "ML", "CSS-ML" and "CSS"

Value

Estimated values of a European call option at different future times

Examples

library(stats)
library(forecast)

# Create simulated data
n = 100
set.seed(42)
arma_values = arima.sim(n = n, model = list(ar = c(0.6), ma = c(0.5, -0.5)))
linear_model = 5 + 1:n
stock_data = arma_values + linear_model

future_times = c(1,3,5)
buy_value = 105


CallOptionsOverTime(stock_data, future_times, buy_value)

armaOptions documentation built on Aug. 31, 2025, 1:07 a.m.