Package: greeks
Title: Sensitivities of Prices of Financial Options
Version: 0.2.0
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 and Asian options in the Black Scholes model. 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 Malliavin Monte Carlo Greeks for general Jump Diffusions
 with nonvanishing Brownian motion part. <arXiv:1603.00920>.
License: MIT + file LICENSE
Encoding: UTF-8
RoxygenNote: 7.1.1
Suggests: testthat (>= 3.0.0)
Config/testthat/edition: 3
Imports: magrittr, matrixStats
NeedsCompilation: no
Packaged: 2021-05-31 19:15:17 UTC; Compi
Author: Anselm Hudde [aut, cre] (<https://orcid.org/0000-0002-5652-2815>)
Maintainer: Anselm Hudde <anselmhudde@gmx.de>
Repository: CRAN
Date/Publication: 2021-05-31 19:40:02 UTC
