Package: greeks
Title: Calculates Sensitivities of Prices of Financial Options
Version: 0.0.1
Authors@R: 
    person(given = "Anselm",
           family = "Hudde",
           role = c("aut", "cre"), 
           email = "anselmhudde@gmx.de",
           comment = c(ORCID = "0000-0002-5652-2815"))
Description: Provides functions to calculate sensitivities of   financial option 
  prices for European and Asian 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 Malliavin Monte Carlo Greeks for general Jump Diffusions
  with nonvanishing Brownian motion part. <arXiv:1603.00920>.
License: MIT + file LICENSE
Encoding: UTF-8
RoxygenNote: 7.1.1
Suggests: testthat (>= 3.0.0)
Config/testthat/edition: 3
Imports: magrittr
NeedsCompilation: no
Packaged: 2021-05-05 15:13:01 UTC; Compi
Author: Anselm Hudde [aut, cre] (<https://orcid.org/0000-0002-5652-2815>)
Maintainer: Anselm Hudde <anselmhudde@gmx.de>
Repository: CRAN
Date/Publication: 2021-05-06 09:00:02 UTC
