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CRANgreeksMaRDI QIDQ64645FDOQ64645
Sensitivities of Prices of Financial Options and Implied Volatilities
Last update: 31 January 2024
Copyright license: MIT license, File License
Software version identifier: 1.1.0, 0.0.1, 0.2.0, 0.3.0, 0.3.1, 0.4.0, 0.4.1, 0.5.0, 0.6.0, 0.7.0, 0.8.0, 0.8.1, 1.0.0, 1.2.0, 1.3.1, 1.3, 1.3.2
Methods to calculate sensitivities of financial option prices for European, geometric and arithmetic Asian, and American options, with various payoff functions in the Black Scholes model, and in more general jump diffusion models. A shiny app to interactively plot the results is included. Furthermore, methods to compute implied volatilities are provided for a wide range of option types and custom payoff functions. 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. In the case of Asian options, Malliavin Monte Carlo Greeks are implemented, see Hudde, A. & Rüschendorf, L. (2023). European and Asian Greeks for exponential Lévy processes. <doi:10.1007/s11009-023-10014-5>. For American options, the Binomial Tree Method is implemented, as is presented in Hull, J. C. (2017).
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