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: 1.4.4 Imports: magrittr, dqrng, Rcpp, tibble, ggplot2, plotly, shiny, tidyr LinkingTo: Rcpp Suggests: knitr, rmarkdown, testthat (≥ 3.0.0), R.rsp Published: 2025-03-02 DOI: 10.32614/CRAN.package.greeks 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: Linking:Please use the canonical form https://CRAN.R-project.org/package=greeks to link to this page.
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