Sensitivities of Prices of Financial Options and Implied Volatilites

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Documentation for package ‘greeks’ version 0.6.0

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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 an European call- or put-option in the Black Scholes model
BS_Implied_Volatility Computes the implied volatility for European-, binomial- and Asian options.
Greeks Computes the Greeks of various options
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
Malliavin_Asian_Greeks_Black_Scholes Computes the Greeks of an Asian option with the Malliavin Monte Carlo Method in the Black Scholes model
Malliavin_European_Greeks Computes the Greeks of an European option with the Malliavin Monte Carlo Method in the Black Scholes model