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greeks
View on CRAN: Click
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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", "1.4.3")
Attach the package and use:
library("greeks")
Maintained by
Anselm Hudde
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
10.32614/CRAN.package.greeks . https://github.com/ahudde/greeks/issues . https://github.com/ahudde/greeks . greeks results . greeks.pdf . greeks: Sensitivities of Prices of Financial Options and Implied Volatilities . greeks_1.4.3.tar.gz . greeks_1.4.3.zip . greeks_1.4.3.zip . greeks_1.4.3.zip . greeks_1.4.3.tgz . greeks_1.4.3.tgz . greeks_1.4.3.tgz . greeks_1.4.3.tgz . greeks_1.4.3.tgz . greeks_1.4.3.tgz . greeks archive . https://CRAN.R-project.org/package=greeks .
First Published: 2021-05-06
Latest Update: 2023-08-17
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 1.4.3, https://cran.r-project.org/web/packages/greeks. Accessed 20 Feb. 2025.
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)
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
Functions, R codes and Examples using
the greeks R package
Some associated functions: BS_European_Greeks . BS_Geometric_Asian_Greeks . BS_Implied_Volatility . BS_Malliavin_Asian_Greeks . Binomial_American_Greeks . Greeks . Greeks_UI . Implied_Volatility . Malliavin_Asian_Greeks . Malliavin_European_Greeks . Malliavin_Geometric_Asian_Greeks . pipe .
Some associated R codes: BS_European_Greeks.R . BS_Geometric_Asian_Greeks.R . BS_Implied_Volatility.R . BS_Malliavin_Asian_Greeks.R . Binomial_American_Greeks.R . Greeks.R . Greeks_UI.R . Implied_Volatility.R . Malliavin_Asian_Greeks.R . Malliavin_European_Greeks.R . Malliavin_Geometric_Asian_Greeks.R . RcppExports.R . greeks-package.R . utils-pipe.R . Full greeks package functions and examples
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