From 7aad19bfc0c0a86ebaf4c1d51b7b10f8a45bf07f Mon Sep 17 00:00:00 2001 From: hudde Date: Tue, 17 Sep 2024 11:43:49 +0200 Subject: [PATCH] Version 1.4.3 --- DESCRIPTION | 98 ++++++++++++++++++++++++++--------------------------- 1 file changed, 49 insertions(+), 49 deletions(-) diff --git a/DESCRIPTION b/DESCRIPTION index 015646f..7696702 100644 --- a/DESCRIPTION +++ b/DESCRIPTION @@ -1,49 +1,49 @@ -Package: greeks -Title: Sensitivities of Prices of Financial Options and Implied Volatilities -Version: 1.4.2 -Authors@R: - person(given = "Anselm", - family = "Hudde", - role = c("aut", "cre"), - email = "anselmhudde@gmx.de", - comment = c(ORCID = "0000-0002-5652-2815")) -Description: 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. 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. - In the case of Asian options, Malliavin Monte Carlo Greeks are implemented, see - Hudde, A. & Rüschendorf, L. (2023). European and Asian Greeks for exponential - Lévy processes. . For American - options, the Binomial Tree Method is implemented, as is presented in Hull, - J. C. (2017). -License: MIT + file LICENSE -Encoding: UTF-8 -Roxygen: list(markdown = TRUE) -RoxygenNote: 7.2.3 -Suggests: - knitr, - rmarkdown, - testthat (>= 3.0.0), - R.rsp -Config/testthat/edition: 3 -Imports: - magrittr, - dqrng, - Rcpp, - tibble, - ggplot2, - plotly, - shiny, - tidyr -LinkingTo: Rcpp -URL: https://github.com/ahudde/greeks -BugReports: https://github.com/ahudde/greeks/issues -NeedsCompilation: yes -Packaged: 2022-01-28 23:05:43 UTC; Compi -Author: Anselm Hudde [aut, cre] () -Maintainer: Anselm Hudde -VignetteBuilder: knitr +Package: greeks +Title: Sensitivities of Prices of Financial Options and Implied Volatilities +Version: 1.4.3 +Authors@R: + person(given = "Anselm", + family = "Hudde", + role = c("aut", "cre"), + email = "anselmhudde@gmx.de", + comment = c(ORCID = "0000-0002-5652-2815")) +Description: 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. 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. + In the case of Asian options, Malliavin Monte Carlo Greeks are implemented, see + Hudde, A. & Rüschendorf, L. (2023). European and Asian Greeks for exponential + Lévy processes. . For American + options, the Binomial Tree Method is implemented, as is presented in Hull, + J. C. (2017). +License: MIT + file LICENSE +Encoding: UTF-8 +Roxygen: list(markdown = TRUE) +RoxygenNote: 7.3.2 +Suggests: + knitr, + rmarkdown, + testthat (>= 3.0.0), + R.rsp +Config/testthat/edition: 3 +Imports: + magrittr, + dqrng, + Rcpp, + tibble, + ggplot2, + plotly, + shiny, + tidyr +LinkingTo: Rcpp +URL: https://github.com/ahudde/greeks +BugReports: https://github.com/ahudde/greeks/issues +NeedsCompilation: yes +Packaged: 2022-01-28 23:05:43 UTC; Compi +Author: Anselm Hudde [aut, cre] () +Maintainer: Anselm Hudde +VignetteBuilder: knitr