Package: empiricaloptions
Type: Package
Title: Empirical 'Martingale' Option Pricing from Historical Data
Version: 0.1.0
Authors@R: person("Thierry", "Moudiki", role = c("aut", "cre"), email = "thierry.moudiki@gmail.com")
Description: 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).
License: BSD_3_clause + file LICENSE
Encoding: UTF-8
Depends: R (>= 3.5)
Imports: tseries, stats
Suggests: testthat (>= 3.0.0), knitr, rmarkdown, quantmod, FinTS
Config/testthat/edition: 3
RoxygenNote: 7.3.2
VignetteBuilder: knitr
URL: https://techtonique.r-universe.dev/empiricaloptions
BugReports: https://github.com/thierrymoudiki/empoptions/issues
Config/pak/sysreqs: libssl-dev
Repository: https://techtonique.r-universe.dev
Date/Publication: 2026-07-31 12:22:13 UTC
RemoteUrl: https://github.com/thierrymoudiki/empiricaloptions
RemoteRef: HEAD
RemoteSha: 97c85e3eaa0fe37749a0d532d93d55a837c82080
NeedsCompilation: no
Packaged: 2026-09-29 11:38:47 UTC; root
Author: Thierry Moudiki [aut, cre]
Maintainer: Thierry Moudiki <thierry.moudiki@gmail.com>