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 Greeks for exponential Lévy processes. . For American options, the Binomial Tree Method is implemented, see also as is presented in Hull, J. C. (2017).


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install.packages("greeks")

0.3.1 by Anselm Hudde, 2 months ago


Browse source code at https://github.com/cran/greeks


Authors: Anselm Hudde [aut, cre]


Documentation:   PDF Manual  


Task views: Empirical Finance


MIT + file LICENSE license


Imports magrittr, matrixStats, dqrng, Rcpp

Suggests testthat

Linking to Rcpp


See at CRAN