Calculates Sensitivities of Prices of Financial Options

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Documentation for package ‘greeks’ version 0.0.1

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BS_European_Greeks Calculates the greeks of an European call- or put-option in the Black Scholes model.
Malliavin_Asian_Greeks This function calculates the fair value of an Asian call- or put-option by with the Malliavin Monte Carlo Method in the Black Scholes model.