greeks: Sensitivities of Prices of Financial Options

Methods 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>.

Version: 0.2.0
Imports: magrittr, matrixStats
Suggests: testthat (≥ 3.0.0)
Published: 2021-05-31
Author: Anselm Hudde ORCID iD [aut, cre]
Maintainer: Anselm Hudde <anselmhudde at>
License: MIT + file LICENSE
NeedsCompilation: no
CRAN checks: greeks results


Reference manual: greeks.pdf
Package source: greeks_0.2.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): greeks_0.2.0.tgz, r-release (x86_64): greeks_0.2.0.tgz, r-oldrel: greeks_0.2.0.tgz
Old sources: greeks archive


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