greeks: Sensitivities of Prices of Financial Options and Implied
Volatilities
Methods to calculate sensitivities of financial option prices for
European, geometric and arithmetic Asian, and American options, with various
payoff functions in the Black Scholes model, and in more general jump diffusion
models. A shiny app to interactively plot the results is included. Furthermore,
methods to compute implied volatilities are provided for a wide range of option
types and custom payoff functions. 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.
In the case of Asian options, Malliavin Monte Carlo Greeks are implemented, see
Hudde, A. & Rüschendorf, L. (2023). European and Asian Greeks for exponential
Lévy processes. <doi:10.1007/s11009-023-10014-5>. For American
options, the Binomial Tree Method is implemented, as is presented in Hull,
J. C. (2017).
| Version: |
1.4.2 |
| Imports: |
magrittr, dqrng, Rcpp, tibble, ggplot2, plotly, shiny, tidyr |
| LinkingTo: |
Rcpp |
| Suggests: |
knitr, rmarkdown, testthat (≥ 3.0.0), R.rsp |
| Published: |
2024-04-23 |
| Author: |
Anselm Hudde 
[aut, cre] |
| Maintainer: |
Anselm Hudde <anselmhudde at gmx.de> |
| BugReports: |
https://github.com/ahudde/greeks/issues |
| License: |
MIT + file LICENSE |
| URL: |
https://github.com/ahudde/greeks |
| NeedsCompilation: |
yes |
| Materials: |
README NEWS |
| In views: |
Finance |
| CRAN checks: |
greeks results |
Documentation:
Downloads:
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