Package: greeks
Title: Sensitivities of Prices of Financial Options and Implied
        Volatilites
Version: 0.5.0
Authors@R: 
    person(given = "Anselm",
           family = "Hudde",
           role = c("aut", "cre"), 
           email = "anselmhudde@gmx.de",
           comment = c(ORCID = "0000-0002-5652-2815"))
Description: Methods to compute sensitivities of financial option prices for
 European, Asian, American and Digital options in the Black Scholes model, and
 in more general jump diffusion models. 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, Global Edition (9th Edition). Pearson. In the case of Asian
 options, Malliavin Monte Carlo Greeks are implemented, see Hudde, A. &
 Rüschendorf, L. (2016). European and Asian Greeks for exponential Lévy
 processes. <arXiv:1603.00920>. For American options, the Binomial Tree Method
 is implemented, as is presented in Hull, J. C. (2017). 
License: MIT + file LICENSE
Encoding: UTF-8
RoxygenNote: 7.1.2
Suggests: testthat (>= 3.0.0)
Config/testthat/edition: 3
Imports: magrittr, dqrng, Rcpp
LinkingTo: Rcpp
NeedsCompilation: yes
Packaged: 2022-02-15 10:43:52 UTC; rstudio-user
Author: Anselm Hudde [aut, cre] (<https://orcid.org/0000-0002-5652-2815>)
Maintainer: Anselm Hudde <anselmhudde@gmx.de>
Repository: CRAN
Date/Publication: 2022-02-15 13:00:02 UTC
Built: R 4.0.5; x86_64-w64-mingw32; 2022-04-21 05:53:50 UTC; windows
Archs: i386, x64
