diff --git a/R/Malliavin_Geometric_Asian_Greeks.R b/R/Malliavin_Geometric_Asian_Greeks.R index b51d351..45dcf5f 100644 --- a/R/Malliavin_Geometric_Asian_Greeks.R +++ b/R/Malliavin_Geometric_Asian_Greeks.R @@ -185,14 +185,13 @@ Malliavin_Geometric_Asian_Greeks <- function( if ("delta" %in% greek) { result[i, "delta"] <- - 2*exp(-(r-dividend_yield)*time_to_maturity)/(initial_price*volatility*time_to_maturity) * - mean(payoff(I_0_geom, exercise_price) * W_T) + (2/(initial_price*volatility*time_to_maturity)) * E_I_0_geom(W_T) } #delta if ("rho" %in% greek) { result[i, "rho"] <- (W_T/volatility - time_to_maturity) %>% - E() + E_I_0_geom() } #rho if ("theta" %in% greek) {