Sensitivities of Prices of Financial Options and Implied Volatilities

Documentation for package ‘greeks’ version 1.4.2

Binomial_American_Greeks	Computes the Greeks of an American call- or put-option with the Binomial options pricing model
BS_European_Greeks	Computes the Greeks of a European call- or put-option, or of digital options in the Black Scholes model.
BS_Geometric_Asian_Greeks	Computes the Greeks of a Geometric Asian Option with classical Call- and Put-Payoff in the Black Scholes model
BS_Implied_Volatility	Computes the implied volatility for European put- and call options in the Black Scholes model via Halley's method.
BS_Malliavin_Asian_Greeks	Computes the Greeks of an Asian option with the Malliavin Monte Carlo Method in the Black Scholes model
Greeks	Computes the Greeks of various options in the Black Scholes model or both in the Black Scholes model or a Jump Diffusion model in the case of Asian Options, or in the Binomial options pricing model
Greeks_UI	Opens a shiny app to interactively visualize option prices and Greeks.
Implied_Volatility	Computes the implied volatility for various options via Newton's method
Malliavin_Asian_Greeks	Computes the Greeks of an Asian option with the Malliavin Monte Carlo Method in the Black Scholes model, or for Asian options, also in a Jump Diffusion model
Malliavin_European_Greeks	Computes the Greeks of a European option with the Malliavin Monte Carlo Method in the Black Scholes model
Malliavin_Geometric_Asian_Greeks	Computes the Greeks of a geometric Asian option with the Malliavin Monte Carlo Method in the Black Scholes- or Jump diffusion model