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# CITATION.cff file created with {cffr} R package
# See also: https://docs.ropensci.org/cffr/
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cff-version: 1.2.0
message: 'To cite package "empiricaloptions" in publications use:'
type: software
license: BSD-3-Clause
title: 'empiricaloptions: Empirical ''Martingale'' Option Pricing from Historical
  Data'
version: 0.1.0
doi: 10.32614/CRAN.package.empiricaloptions
abstract: 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:
- family-names: Moudiki
  given-names: Thierry
  email: thierry.moudiki@gmail.com
repository: https://techtonique.r-universe.dev
repository-code: https://github.com/thierrymoudiki/empoptions
commit: 97c85e3eaa0fe37749a0d532d93d55a837c82080
url: https://techtonique.r-universe.dev/empiricaloptions
date-released: '2026-07-31'
contact:
- family-names: Moudiki
  given-names: Thierry
  email: thierry.moudiki@gmail.com