Calculates Sensitivities of Prices of Financial Options
person(given = "Anselm",
family = "Hudde",
role = c("aut", "cre"),
email = "anselmhudde@gmx.de",
comment = c(ORCID = "0000-0002-5652-2815"))
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>.

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>.

Methods to calculate sensitivities of financial option
prices for European and Asian and American 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>.
For American options, the Binomial Tree Method is implemented, see also as
is presented in Hull, J. C. (2017).