Package: empiricaloptions 0.1.0

empiricaloptions: Empirical 'Martingale' Option Pricing from Historical Data

Prices European and arithmetic Asian options directly from a single historical price series, with no option-market calibration input. An AR(1) filter removes linear predictability from discounted log-prices, a stationary block bootstrap (Politis and Romano, 1994) resamples the residuals to preserve dependence beyond the mean, and a Duan-Simonato (1998) scalar correction enforces the martingale condition required by the Fundamental Theorem of Asset Pricing. Intended for underlyings with no quoted option market to calibrate against (private indices, embedded insurance options, participation certificates).

Authors:Thierry Moudiki [aut, cre]