europeanPutOptionValue: Estimate European Put Option Value

In armaOptions: ARMA Models to Value Stock Options

Estimate European Put Option Value

Description

This function calculates the value of a European put option based on stock data, a future time value, and a sell value

Usage

europeanPutOptionValue(
  stock_data,
  future_time,
  sell_value,
  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_value	The numeric sell value of the European put option.
max.p	The maximum order of the autoregressive part of the ARMA model (default is set to 5)
max.q	The maximum order of the moving average part of the ARMA model (default is set to 5)
method	The way that the ARMA model is calculated, accepted values are "ML", "CSS-ML" and "CSS"

Value

Estimate the value of a European put option, determine the probability of making profits, and model an appropriate ARMA model for the given stock data.

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
europeanPutOptionValue(stock_data = stock_data,future_time = 5,sell_value = 110,max.p = 5,max.q = 5)

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