greeks: Sensitivities of Prices of Financial Options and Implied
Volatilites
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. 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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