greeks

cranv1.5.1

Sensitivities of Prices of Financial Options and Implied Volatilities. 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. Furthermor

License MIT + file LICENSE0 versions1 maintainers8 deps103 weekly dl
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First published · 2025-11-17 13:22:41

Last updated · 2025-11-17T11:20:02+00:00