PutOptionsOverTime: 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 put option for a list of future time values, given stock price data and a given buy value.

Usage

PutOptionsOverTime(
  stock_data,
  future_times,
  sell_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
sell_value	Numeric value representing the sell 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 put 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

sell_value = 110
future_times = c(1, 3, 5)

PutOptionsOverTime(stock_data = stock_data, future_times = future_times, sell_value = sell_value)

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