greeks
greeks: Sensitivities of Prices of Financial Options and Implied Volatilities - Published in JOSS (2024)
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Published in Journal of Open Source Software
Keywords
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Sensitivities of Prices of Financial Options and Implied Volatilites
Basic Info
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- Stars: 7
- Watchers: 2
- Forks: 3
- Open Issues: 1
- Releases: 1
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Metadata Files
README.md
greeks
The package greeks provides functions to compute financial option prices and
sensitivities of financial option prices for European, American, Asian, and
Digital options in the Black Scholes model, and in more general jump diffusion
models.
Furthermore, based on the implementations of Vega, efficient functions for
calculating implied volatilities not just for European options, but also for
American, Asian, and digital options are provided.
Classical formulas are implemented for European options in the Black Scholes Model. Furthermore, functions to calculate Malliavin Monte Carlo Greeks are given, as presented e.g., in Hudde, A. & Rüschendorf, L. (2016). European and Asian Greeks for exponential Lévy processes (https://link.springer.com/article/10.1007/s11009-023-10014-5). These functions work for classical payoff functions, as well as for any custom square integrable function provided by the user. Additionally, these calculations are not restricted to the Black Scholes model, but work for more general Lévy Jump diffusion model, which is also customizable by the user.
greeks on CRAN
You can view the documentation of this package on CRAN.R-project.org/package=greeks/greeks.pdf and the vignette on CRAN.R-project.org/package=greeks/vignettes/using_greeks.html.
Installation
# The cran version can be installed by
install.packages("greeks")
# The development version can be installed by
install.packages("devtools")
library("devtools")
devtools::install_github("ahudde/greeks")
Computing option prices and Greeks in the shiny app
The option prices and volatilities for European options can be displayed with the interactive shiny app by calling
library(greeks)
Greeks_UI()
or online on anselmhudde.shinyapps.io/greeks/
The function Greeks
Most of the options prices and Greeks can easily be calculated with the function Greeks.
# Load package
library(greeks)
# Option price and most common Greeks of a European call option on a share with
# price 100 and volatility of 30%, where the exercise price is 120, the time to
# maturity of 5 years, and the riskless interest rate of 1%.
Greeks(initial_price = 100,
exercise_price = 120,
r = 0.01,
time_to_maturity = 5,
volatility = 0.30,
payoff = "call")
## fair_value delta vega theta rho
## 21.577149923 0.554941778 88.358901748 -2.989937331 169.585139380
## gamma
## 0.005890593
# Option price and most common Greeks of an American put option on a share with
# price 100 and volatility of 25%, where the exercise price is 100, the time to
# maturity of 1 year, and the riskless interest rate of -0.5%.
Greeks(initial_price = 100,
exercise_price = 100,
r = -0.005,
time_to_maturity = 1,
volatility = 0.30,
payoff = "put",
option_type = "American")
## fair_value delta vega theta rho gamma
## 12.2027075 -0.4469782 39.5313017 -6.2141979 -56.9005269 -0.1275472
Computing implied volatilities
The package greeks also provides a function to compute implied volatilities
for a wide range of option types and payoff functions:
# Implied volatility of an Asian call option with on an option price of 15, a
# share price of 100, an exercise_price of 100, a risk-free interest rate of
# 0.05 and a time to maturity of 1.
Implied_Volatility(option_price = 15, initial_price = 100,
exercise_price = 100, r = 0.05, time_to_maturity = 1,
option_type = "Asian", payoff = "call")
## [1] 0.6330451
Contributions, bug reports or support
Bug reports and contributions are very welcome. Also, if you need assistance, please open an issue on github.com/ahudde/greeks/issues.
Owner
- Login: ahudde
- Kind: user
- Repositories: 2
- Profile: https://github.com/ahudde
JOSS Publication
greeks: Sensitivities of Prices of Financial Options and Implied Volatilities
Authors
University of Applied Sciences Koblenz, Germany
Editor
Charlotte Soneson
Tags
Option Pricing Financial Mathematics Malliavin CalculusGitHub Events
Total
- Watch event: 1
- Push event: 11
Last Year
- Watch event: 1
- Push event: 11
Committers
Last synced: 7 months ago
Top Committers
| Name | Commits | |
|---|---|---|
| hudde | h****e@r****e | 216 |
| anselmhudde | 6****e | 57 |
| ahudde | 6****u | 47 |
| ahudde | 6****e | 23 |
| Charlotte Soneson | c****n@g****m | 2 |
| olivroy | 5****y | 1 |
Committer Domains (Top 20 + Academic)
Issues and Pull Requests
Last synced: 6 months ago
All Time
- Total issues: 19
- Total pull requests: 2
- Average time to close issues: about 2 months
- Average time to close pull requests: about 4 hours
- Total issue authors: 3
- Total pull request authors: 2
- Average comments per issue: 3.21
- Average comments per pull request: 0.0
- Merged pull requests: 2
- Bot issues: 0
- Bot pull requests: 0
Past Year
- Issues: 0
- Pull requests: 0
- Average time to close issues: N/A
- Average time to close pull requests: N/A
- Issue authors: 0
- Pull request authors: 0
- Average comments per issue: 0
- Average comments per pull request: 0
- Merged pull requests: 0
- Bot issues: 0
- Bot pull requests: 0
Top Authors
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- lrnv (17)
- bahung (1)
- ahudde (1)
Pull Request Authors
- csoneson (2)
- olivroy (2)
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Packages
- Total packages: 1
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Total downloads:
- cran 467 last-month
- Total docker downloads: 20,358
- Total dependent packages: 0
- Total dependent repositories: 0
- Total versions: 21
- Total maintainers: 1
cran.r-project.org: greeks
Sensitivities of Prices of Financial Options and Implied Volatilities
- Homepage: https://github.com/ahudde/greeks
- Documentation: http://cran.r-project.org/web/packages/greeks/greeks.pdf
- License: MIT + file LICENSE
-
Latest release: 1.4.4
published 12 months ago
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Maintainers (1)
Dependencies
- Rcpp * imports
- dqrng * imports
- ggplot2 * imports
- magrittr * imports
- plotly * imports
- shiny * imports
- tibble * imports
- tidyr * imports
- R.rsp * suggests
- knitr * suggests
- rmarkdown * suggests
- testthat >= 3.0.0 suggests