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, and in more general jump diffusion models. 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, as is presented in Hull, J. C. (2017).


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0.4.1 by Anselm Hudde, a month ago

Browse source code at

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