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).

Version: 0.5.0
Imports: magrittr, dqrng, Rcpp
LinkingTo: Rcpp
Suggests: testthat (≥ 3.0.0)
Published: 2022-02-15
Author: Anselm Hudde ORCID iD [aut, cre]
Maintainer: Anselm Hudde <anselmhudde at>
License: MIT + file LICENSE
NeedsCompilation: yes
Materials: README
In views: Finance
CRAN checks: greeks results


Reference manual: greeks.pdf


Package source: greeks_0.5.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): greeks_0.5.0.tgz, r-release (x86_64): greeks_0.5.0.tgz, r-oldrel: greeks_0.5.0.tgz
Old sources: greeks archive


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