greeks: Sensitivities of Prices of Financial Options

Methods to calculate sensitivities of financial option prices for European, Asian, American and Digital Options options in the Black Scholes model. Classical formulas are implemented for European options in the Black Scholes Model, as is presented in Hull, J. C. (2017). Options, Futures, and Other Derivatives, Global Edition (9th Edition). Pearson. In the case of Asian options, Malliavin Monte Carlo Greeks are implemented, see Hudde, A. & Rüschendorf, L. (2016). European and Asian Greeks for exponential Lévy processes. <arXiv:1603.00920>. For American options, the Binomial Tree Method is implemented, as is presented in Hull, J. C. (2017).

Version: 0.4.0
Imports: magrittr, matrixStats, dqrng, Rcpp
LinkingTo: Rcpp
Suggests: testthat (≥ 3.0.0)
Published: 2021-11-16
Author: Anselm Hudde ORCID iD [aut, cre]
Maintainer: Anselm Hudde <anselmhudde at gmx.de>
License: MIT + file LICENSE
NeedsCompilation: yes
In views: Finance
CRAN checks: greeks results

Documentation:

Reference manual: greeks.pdf

Downloads:

Package source: greeks_0.4.0.tar.gz
Windows binaries: r-devel: greeks_0.4.0.zip, r-devel-UCRT: greeks_0.4.0.zip, r-release: greeks_0.4.0.zip, r-oldrel: greeks_0.4.0.zip
macOS binaries: r-release (arm64): greeks_0.4.0.tgz, r-release (x86_64): greeks_0.4.0.tgz, r-oldrel: greeks_0.4.0.tgz
Old sources: greeks archive

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