Package: greeks
Title: Sensitivities of Prices of Financial Options
Version: 0.3.1
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 and American 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 Greeks for exponential Lévy processes. <arXiv:1603.00920>.
 For American options, the Binomial Tree Method is implemented, see also as
 is presented in Hull, J. C. (2017). 
License: MIT + file LICENSE
Encoding: UTF-8
RoxygenNote: 7.1.1
Suggests: testthat (>= 3.0.0)
Config/testthat/edition: 3
Imports: magrittr, matrixStats, dqrng, Rcpp
LinkingTo: Rcpp
NeedsCompilation: yes
Packaged: 2021-08-05 21:02:32 UTC; Compi
Author: Anselm Hudde [aut, cre] (<https://orcid.org/0000-0002-5652-2815>)
Maintainer: Anselm Hudde <anselmhudde@gmx.de>
Repository: CRAN
Date/Publication: 2021-08-06 05:00:16 UTC
