armaOptions (version 1.0.1)

PutOptionsOverTime: 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"
)

Value

Estimated values of a European put option at different future times

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"

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)