bs_greeks: Compute Greeks under BS dynamics
In shill1729/pricing: Option pricing engines for (jump)-diffusions

The basic Greeks under Black-Scholes.

bs_greeks(
  strike,
  expiry,
  spot,
  v,
  r,
  type = "call",
  N = 100,
  M = 100,
  american = TRUE
)

`strike`	the strike price
`expiry`	the time until maturity
`spot`	the spot price
`v`	volatility
`r`	risk-free rate
`type`	put or call
`N`	time resolution
`M`	space resolution
`american`	boolean for American or European options

vector

shill1729/pricing documentation built on Jan. 9, 2022, 12:56 a.m.

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