Sensitivities of Prices of Financial Options and Implied Volatilities
Computes the Greeks of an American call- or put-option with the Binomi...
Computes the Greeks of a European call- or put-option, or of digital o...
Computes the Greeks of a Geometric Asian Option with classical Call- a...
Computes the implied volatility for European put- and call options in ...
Computes the Greeks of an Asian option with the Malliavin Monte Carlo ...
Opens a shiny app to interactively visualize option prices and Greeks.
Computes the Greeks of various options in the Black Scholes model or b...
Computes the implied volatility for various options via Newton's metho...
Computes the Greeks of an Asian option with the Malliavin Monte Carlo ...
Computes the Greeks of a European option with the Malliavin Monte Carl...
Computes the Greeks of a geometric Asian option with the Malliavin Mon...
Pipe operator
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).