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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 |
DOI: | 10.32614/CRAN.package.greeks |
Author: | Anselm Hudde |
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 |
Reference manual: | greeks.pdf |
Vignettes: |
greeks: Sensitivities of Prices of Financial Options and Implied Volatilities |
Package source: | greeks_1.4.2.tar.gz |
Windows binaries: | r-devel: greeks_1.4.2.zip, r-release: greeks_1.4.2.zip, r-oldrel: greeks_1.4.2.zip |
macOS binaries: | r-release (arm64): greeks_1.4.2.tgz, r-oldrel (arm64): greeks_1.4.2.tgz, r-release (x86_64): greeks_1.4.2.tgz, r-oldrel (x86_64): greeks_1.4.2.tgz |
Old sources: | greeks archive |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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