greeks: Sensitivities of Prices of Financial Options and Implied
Volatilites
Methods to compute sensitivities of financial option prices for
European, Asian, American and Digital options in the Black Scholes model, and
in more general jump diffusion models. 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, 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. <arXiv:1603.00920>. For American options, the Binomial Tree Method
is implemented, as is presented in Hull, J. C. (2017).
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