Other packages > Find by keyword >

greeks  

Sensitivities of Prices of Financial Options and Implied Volatilities
View on CRAN: Click here


Download and install greeks package within the R console
Install from CRAN:
install.packages("greeks")

Install from Github:
library("remotes")
install_github("cran/greeks")

Install by package version:
library("remotes")
install_version("greeks", "1.5.1")



Attach the package and use:
library("greeks")
Maintained by
Anselm Hudde
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-05-06
Latest Update: 2025-03-02
Description:
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. & R
How to cite:
Anselm Hudde (2021). greeks: Sensitivities of Prices of Financial Options and Implied Volatilities. R package version 1.5.1, https://cran.r-project.org/web/packages/greeks. Accessed 04 Jun. 2026.
Previous versions and publish date:
0.0.1 (2021-05-06 11:00), 0.2.0 (2021-05-31 21:40), 0.3.0 (2021-07-04 16:00), 0.3.1 (2021-08-06 07:00), 0.4.0 (2021-11-16 17:30), 0.4.1 (2021-12-14 19:00), 0.5.0 (2022-02-15 14:00), 0.6.0 (2022-05-03 01:42), 0.7.0 (2022-08-26 21:12), 0.8.0 (2023-01-13 15:40), 0.8.1 (2023-01-15 18:00), 1.0.0 (2023-02-16 18:40), 1.1.0 (2023-03-17 16:20), 1.2.0 (2023-08-17 15:12), 1.3.1 (2023-11-02 23:20), 1.3.2 (2024-01-31 23:40), 1.3.5 (2024-03-03 22:40), 1.3 (2023-09-14 22:40), 1.4.2 (2024-04-23 09:10), 1.4.3 (2024-09-17 14:30), 1.4.4 (2025-03-02 14:30), 1.5.1 (2025-11-17 13:20)
Other packages that cited greeks R package
View greeks citation profile
Other R packages that greeks depends, imports, suggests or enhances
Complete documentation for greeks
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

shinybusy  
Busy Indicators and Notifications for 'Shiny' Applications
Add indicators (spinner, progress bar, gif) in your 'shiny' applications to show the user that the ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  
AMPLE  
Shiny Apps to Support Capacity Building on Harvest Control Rules
Three Shiny apps are provided that introduce Harvest Control Rules (HCR) for fisheries management. ...
Download / Learn more Package Citations See dependency  
crplyr  
A 'dplyr' Interface for Crunch
In order to facilitate analysis of datasets hosted on the Crunch data platform ...
Download / Learn more Package Citations See dependency  
phers  
Calculate Phenotype Risk Scores
Use phenotype risk scores based on linked clinical and genetic data to study Mendelian disease and ...
Download / Learn more Package Citations See dependency  
golem  
A Framework for Robust Shiny Applications
An opinionated framework for building a production-ready 'Shiny' application. This package contains ...
Download / Learn more Package Citations See dependency  

27,268

R Packages

233,548

Dependencies

72,590

Author Associations

27,205

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA