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greeks  

Sensitivities of Prices of Financial Options and Implied Volatilities
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install.packages("greeks")

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library("remotes")
install_github("cran/greeks")

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library("remotes")
install_version("greeks", "1.4.3")



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library("greeks")
Maintained by
Anselm Hudde
[Scholar Profile | Author Map]
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)
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