Package: greeks
Title: Sensitivities of Prices of Financial Options and Implied
        Volatilites
Version: 0.6.0
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 calculate sensitivities of financial option prices for
 European, Asian, American and Digital Options 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: 2022-05-02 23:21:10 UTC; Compi
Author: Anselm Hudde [aut, cre] (<https://orcid.org/0000-0002-5652-2815>)
Maintainer: Anselm Hudde <anselmhudde@gmx.de>
Repository: CRAN
Date/Publication: 2022-05-02 23:42:03 UTC
