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greeks 1.4.0

greeks is now published in JOSS: status

Hudde, A., (2024). greeks: Sensitivities of Prices of Financial Options and Implied Volatilities. Journal of Open Source Software, 9(95), 5987, https://doi.org/10.21105/joss.05987

greeks 1.2.0

Greeks_UI() Added arithmetic Asian Option prices and Greeks

greeks 1.1.0

BS_Geometric_Asian_Greeks() now computes prices and sensitivities of geometric Asian options.

Greeks_UI() also displays Geometric Asian Options.

greeks 1.0.0

Greeks_UI(): Added American Options and Greeks.

Implied_Volatility(): Improved performance for European Options by implementing Halley’s Method.

greeks 0.8.1

Fixed installation problems.

greeks 0.8.0

Added function Greeks_UI() which starts an interactive shiny app to display option prices and Greeks.

greeks 0.7.0

BS_European_Greeks(): Added the Greeks zomma, color, and ultima.

greeks 0.6.0

BS_European_Greeks(): Added cash_or_nothing and asset_or_nothing payoff function and the Greek vera.

Improved performance of Implied_Volatility() for European options in the Black Scholes model.

greeks 0.5.0

Added function Implied_Volatility() to compute implied probabilities of various options.

greeks 0.4.1

Removed dependency from MatrixStats and improved performance of Malliavin_Asian_Greeks().

greeks 0.4.0

Added function Greeks() which is a wrapper to compute any option value or Greek which is implemented in the package greeks.

BS_European_Greeks(): Added Greeks charm, vomma, veta, speed.

greeks 0.3.0

Added function Binomial_American_Greeks() which computes American Option prices and Greeks in the binomial options pricing model.

Improved performance of Malliavin_Asian_Greeks().

greeks 0.2.0

New function Malliavin_European_Greeks() which computes fair value and Greeks for American Options in the Black Scholes and an Jump-Diffusion Model

Improvements in Malliavin_Asian_Greeks():

greeks 0.0.1

Initial Version of the package. Computes Sensitivities of Prices of Financial Options for European and Asian Options in the Black Scholes model.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.