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Package: greeks | ||
Title: Sensitivities of Prices of Financial Options and Implied Volatilities | ||
Version: 1.4.2 | ||
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, 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). | ||
License: MIT + file LICENSE | ||
Encoding: UTF-8 | ||
Roxygen: list(markdown = TRUE) | ||
RoxygenNote: 7.2.3 | ||
Suggests: | ||
knitr, | ||
rmarkdown, | ||
testthat (>= 3.0.0), | ||
R.rsp | ||
Config/testthat/edition: 3 | ||
Imports: | ||
magrittr, | ||
dqrng, | ||
Rcpp, | ||
tibble, | ||
ggplot2, | ||
plotly, | ||
shiny, | ||
tidyr | ||
LinkingTo: Rcpp | ||
URL: https://github.com/ahudde/greeks | ||
BugReports: https://github.com/ahudde/greeks/issues | ||
NeedsCompilation: yes | ||
Packaged: 2022-01-28 23:05:43 UTC; Compi | ||
Author: Anselm Hudde [aut, cre] (<https://orcid.org/0000-0002-5652-2815>) | ||
Maintainer: Anselm Hudde <anselmhudde@gmx.de> | ||
VignetteBuilder: knitr | ||
Package: greeks | ||
Title: Sensitivities of Prices of Financial Options and Implied Volatilities | ||
Version: 1.4.3 | ||
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, 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). | ||
License: MIT + file LICENSE | ||
Encoding: UTF-8 | ||
Roxygen: list(markdown = TRUE) | ||
RoxygenNote: 7.3.2 | ||
Suggests: | ||
knitr, | ||
rmarkdown, | ||
testthat (>= 3.0.0), | ||
R.rsp | ||
Config/testthat/edition: 3 | ||
Imports: | ||
magrittr, | ||
dqrng, | ||
Rcpp, | ||
tibble, | ||
ggplot2, | ||
plotly, | ||
shiny, | ||
tidyr | ||
LinkingTo: Rcpp | ||
URL: https://github.com/ahudde/greeks | ||
BugReports: https://github.com/ahudde/greeks/issues | ||
NeedsCompilation: yes | ||
Packaged: 2022-01-28 23:05:43 UTC; Compi | ||
Author: Anselm Hudde [aut, cre] (<https://orcid.org/0000-0002-5652-2815>) | ||
Maintainer: Anselm Hudde <anselmhudde@gmx.de> | ||
VignetteBuilder: knitr |