armaOptions (version 1.0.1)

PutOptionsOverStrikePrices: 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"
)

Value

Estimated values of a European put option at different sell values

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"

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)