greeks: Sensitivities of Prices of Financial Options

Methods to calculate sensitivities of financial option prices for European and Asian and American 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 Malliavin Monte Carlo Greeks for general Jump Diffusions with nonvanishing Brownian motion part. <arXiv:1603.00920>. For American options, the Binomial Tree Method is implemented, see also as is presented in Hull, J. C. (2017).

Version: 0.3.0
Imports: magrittr, matrixStats, dqrng, Rcpp
LinkingTo: Rcpp
Suggests: testthat (≥ 3.0.0)
Published: 2021-07-04
Author: Anselm Hudde ORCID iD [aut, cre]
Maintainer: Anselm Hudde <anselmhudde at gmx.de>
License: MIT + file LICENSE
NeedsCompilation: yes
CRAN checks: greeks results

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Reference manual: greeks.pdf
Package source: greeks_0.3.0.tar.gz
Windows binaries: r-devel: greeks_0.3.0.zip, r-devel-UCRT: greeks_0.3.0.zip, r-release: greeks_0.3.0.zip, r-oldrel: greeks_0.3.0.zip
macOS binaries: r-release (arm64): greeks_0.2.0.tgz, r-release (x86_64): greeks_0.3.0.tgz, r-oldrel: greeks_0.3.0.tgz
Old sources: greeks archive

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