Title: Sensitivities of Prices of Financial Options and Implied
Description: Methods to compute sensitivities of financial option prices for
European, Asian, American and Digital options in the Black Scholes model, and
in more general jump diffusion models. 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
processes. <arXiv:1603.00920>. For American options, the Binomial Tree Method
is implemented, as is presented in Hull, J. C. (2017).
Packaged: 2022-02-15 10:43:52 UTC; rstudio-user

model, and in more general jump diffusion models. 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, 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 Greeks for exponential
Lévy processes. <arXiv:1603.00920>. For American options, the Binomial Tree
Method is implemented, as is presented in Hull, J. C. (2017).

Title: Combine Categories Using Greenacre's Method
Authors@R: person("Jeff", "Jetton", , "jeff.jetton@gmail.com", c("aut", "cre"))
Description: Implements a method of iteratively collapsing the rows of a
contingency table, two at a time, by selecting the pair of categories whose
combination yields a new table with the smallest loss of chi-squared, as
described by Greenacre, M.J. (1988) <doi:10.1007/BF01901670>. The result is
compatible with the class of object returned by the 'stats' package's
hclust() function and can be used similarly (plotted as a dendrogram,
cut, etc.). Additional functions are provided for automatic cutting and
Packaged: 2019-07-16 12:25:43 UTC; jeffjetton

Packaged: 2020-01-10 00:20:48 UTC; jeffjetton