PutOptionsOverStrikePrices: Strike Price Sensitivity Analysis for European Put Option

In armaOptions: ARMA Models to Value Stock Options

Strike Price Sensitivity Analysis for European Put Option

Description

This function calculates the value of the a European put option for a list of strike price / sell values, given stock price data and a given future time.

Usage

PutOptionsOverStrikePrices(
  stock_data,
  future_time,
  sell_values,
  max.p = 5,
  max.q = 5,
  method = "CSS-ML"
)

Arguments

stock_data	Numeric vector of stock prices data.
future_time	Numeric constant of the future time
sell_values	Numeric vector of the sell values to calculate the put option values at
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 put option at different sell values

Examples

library(stats)
library(forecast)

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_time = 2
sell_values = seq(90, 110, length.out = 5)

PutOptionsOverStrikePrices(stock_data, future_time, sell_values)

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