greeks: Sensitivities of Prices of Financial Options and Implied Volatilities

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: 1.4.3
Imports: magrittr, dqrng, Rcpp, tibble, ggplot2, plotly, shiny, tidyr
LinkingTo: Rcpp
Suggests: knitr, rmarkdown, testthat (≥ 3.0.0), R.rsp
Published: 2024-09-17
DOI: 10.32614/CRAN.package.greeks
Author: Anselm Hudde ORCID iD [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:

Reference manual: greeks.pdf
Vignettes: greeks: Sensitivities of Prices of Financial Options and Implied Volatilities (source, R code)

Downloads:

Package source: greeks_1.4.3.tar.gz
Windows binaries: r-devel: greeks_1.4.3.zip, r-release: greeks_1.4.3.zip, r-oldrel: greeks_1.4.3.zip
macOS binaries: r-release (arm64): greeks_1.4.3.tgz, r-oldrel (arm64): greeks_1.4.3.tgz, r-release (x86_64): greeks_1.4.3.tgz, r-oldrel (x86_64): greeks_1.4.3.tgz
Old sources: greeks archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=greeks to link to this page.

mirror server hosted at Truenetwork, Russian Federation.