fin_options_LeapSimulate: Simulate and Compare LEAP Extrinsic Premium Decay

In umx: Structural Equation Modeling and Twin Modeling in R

Simulate and Compare LEAP Extrinsic Premium Decay

Description

fin_options_LeapSimulate compares two European Call options over a 931-day horizon: one starting at a 0.80 Delta and another at a 0.95 Delta. It simulates how their extrinsic value (rent/time-decay premium) bleeds to 0 as time runs out, plotting the results side-by-side.

Usage

fin_options_LeapSimulate(
  spotPrice = 100,
  impliedVol = 0.2,
  riskFreeRate = 0.04
)

Arguments

spotPrice	The constant price of the underlying asset (default = 100).
impliedVol	The constant implied volatility of the underlying asset (default = 0.20).
riskFreeRate	The annual risk-free interest rate (default = 0.04).

Value

A ggplot object comparing the extrinsic premium decay side-by-side.

See Also

Other financial functions: fin_options_Greeks(), fin_options_plotGreeks(), fin_options_teach(), fin_stock_CAGR(), fin_stock_justifiedPE(), fin_stock_target(), fin_stock_ticker(), fin_stock_valuation(), fin_tax_FIF(), fin_tax_NI(), fin_value_CAGR(), fin_value_CarryCost(), fin_value_NPV(), fin_value_interest(), fin_value_percent()

Examples

## Not run: 
fin_options_LeapSimulate(spotPrice = 100, impliedVol = 0.20, riskFreeRate = 0.04)

## End(Not run)

umx documentation built on Oct. 11, 2026, 5:07 p.m.