Package: greeks
Title: Sensitivities of Prices of Financial Options
Version: 0.4.0
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. 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, matrixStats, dqrng, Rcpp
LinkingTo: Rcpp
NeedsCompilation: yes
Packaged: 2021-11-16 16:10:47 UTC; Compi
Author: Anselm Hudde [aut, cre] (<https://orcid.org/0000-0002-5652-2815>)
Maintainer: Anselm Hudde <anselmhudde@gmx.de>
Repository: CRAN
Date/Publication: 2021-11-16 16:30:02 UTC
