Package: greeks
Title: Sensitivities of Prices of Financial Options
Version: 0.4.1
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, Asian, American and Digital Options options in the Black Scholes
 model, and in more general jump diffusion models. 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: 2021-12-14 17:26:12 UTC; Compi
Author: Anselm Hudde [aut, cre] (<https://orcid.org/0000-0002-5652-2815>)
Maintainer: Anselm Hudde <anselmhudde@gmx.de>
Repository: CRAN
Date/Publication: 2021-12-14 18:00:02 UTC
