NEWS

greeks 1.4.0

greeks is now published in JOSS: status

Hudde, A., (2024). greeks: Sensitivities of Prices of Financial Options and Implied Volatilities. Journal of Open Source Software, 9(95), 5987, https://doi.org/10.21105/joss.05987

greeks 1.2.0 (2023-08-17)

Greeks_UI() Added arithmetic Asian Option prices and Greeks

greeks 1.1.0 (2023-03-17)

BS_Geometric_Asian_Greeks() now computes prices and sensitivities of geometric Asian options.

Greeks_UI() also displays Geometric Asian Options.

greeks 1.0.0 (2023-02-16)

Greeks_UI(): Added American Options and Greeks.

Implied_Volatility(): Improved performance for European Options by implementing Halley's Method.

greeks 0.8.1 (2023-01-15)

Fixed installation problems.

greeks 0.8.0 (2023-01-13)

Added function Greeks_UI() which starts an interactive shiny app to display option prices and Greeks.

greeks 0.7.0 (2022-08-26)

BS_European_Greeks(): Added the Greeks zomma, color, and ultima.

greeks 0.6.0 (2022-05-02)

BS_European_Greeks(): Added cash_or_nothing and asset_or_nothing payoff function and the Greek vera.

Improved performance of Implied_Volatility() for European options in the Black Scholes model.

greeks 0.5.0 (2022-02-15)

Added function Implied_Volatility() to compute implied probabilities of various options.

greeks 0.4.1 (2021-12-14)

Removed dependency from MatrixStats and improved performance of Malliavin_Asian_Greeks().

greeks 0.4.0 (2021-11-16)

Added function Greeks() which is a wrapper to compute any option value or Greek which is implemented in the package greeks.

BS_European_Greeks(): Added Greeks charm, vomma, veta, speed.

greeks 0.3.0 (2021-07-04)

Added function Binomial_American_Greeks() which computes American Option prices and Greeks in the binomial options pricing model.

Improved performance of Malliavin_Asian_Greeks().

greeks 0.2.0 (2021-05-31)

New function Malliavin_European_Greeks() which computes fair value and Greeks for American Options in the Black Scholes and an Jump-Diffusion Model

Improvements in Malliavin_Asian_Greeks():

greeks 0.0.1 (2021-05-06)

Initial Version of the package. Computes Sensitivities of Prices of Financial Options for European and Asian Options in the Black Scholes model.