Package: greeks 1.4.3

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).

Authors:Anselm Hudde [aut, cre]

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NEWS

# Install 'greeks' in R:
install.packages('greeks', repos = c('https://ahudde.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/ahudde/greeks/issues

Uses libs:
  • c++– GNU Standard C++ Library v3

On CRAN:

asian-optiongreeksimplied-volatilityoption

12 exports 4 stars 2.05 score 79 dependencies 6 scripts 1.1k downloads

Last updated 20 hours agofrom:7aad19bfc0. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 17 2024
R-4.5-win-x86_64OKSep 17 2024
R-4.5-linux-x86_64OKSep 17 2024
R-4.4-win-x86_64OKSep 17 2024
R-4.4-mac-x86_64OKSep 17 2024
R-4.4-mac-aarch64OKSep 17 2024
R-4.3-win-x86_64OKSep 17 2024
R-4.3-mac-x86_64OKSep 17 2024
R-4.3-mac-aarch64OKSep 17 2024

Exports:%>%Binomial_American_GreeksBS_European_GreeksBS_Geometric_Asian_GreeksBS_Implied_VolatilityBS_Malliavin_Asian_GreeksGreeksGreeks_UIImplied_VolatilityMalliavin_Asian_GreeksMalliavin_European_GreeksMalliavin_Geometric_Asian_Greeks

Dependencies:askpassbase64encBHbslibcachemclicolorspacecommonmarkcpp11crayoncrosstalkcurldata.tabledigestdplyrdqrngevaluatefansifarverfastmapfontawesomefsgenericsggplot2gluegtablehighrhtmltoolshtmlwidgetshttpuvhttrisobandjquerylibjsonliteknitrlabelinglaterlatticelazyevallifecyclemagrittrMASSMatrixmemoisemgcvmimemunsellnlmeopensslpillarpkgconfigplotlypromisespurrrR6rappdirsRColorBrewerRcpprlangrmarkdownsassscalesshinysitmosourcetoolsstringistringrsystibbletidyrtidyselecttinytexutf8vctrsviridisLitewithrxfunxtableyaml

greeks: Sensitivities of Prices of Financial Options and Implied Volatilities

Rendered fromusing_greeks.Rmdusingknitr::rmarkdownon Sep 17 2024.

Last update: 2024-03-03
Started: 2023-01-15

Readme and manuals

Help Manual

Help pageTopics
Computes the Greeks of an American call- or put-option with the Binomial options pricing modelBinomial_American_Greeks
Computes the Greeks of a European call- or put-option, or of digital options in the Black Scholes model.BS_European_Greeks
Computes the Greeks of a Geometric Asian Option with classical Call- and Put-Payoff in the Black Scholes modelBS_Geometric_Asian_Greeks
Computes the implied volatility for European put- and call options in the Black Scholes model via Halley's method.BS_Implied_Volatility
Computes the Greeks of an Asian option with the Malliavin Monte Carlo Method in the Black Scholes modelBS_Malliavin_Asian_Greeks
Computes the Greeks of various options in the Black Scholes model or both in the Black Scholes model or a Jump Diffusion model in the case of Asian Options, or in the Binomial options pricing modelGreeks
Opens a shiny app to interactively visualize option prices and Greeks.Greeks_UI
Computes the implied volatility for various options via Newton's methodImplied_Volatility
Computes the Greeks of an Asian option with the Malliavin Monte Carlo Method in the Black Scholes model, or for Asian options, also in a Jump Diffusion modelMalliavin_Asian_Greeks
Computes the Greeks of a European option with the Malliavin Monte Carlo Method in the Black Scholes modelMalliavin_European_Greeks
Computes the Greeks of a geometric Asian option with the Malliavin Monte Carlo Method in the Black Scholes- or Jump diffusion modelMalliavin_Geometric_Asian_Greeks