Black Scholes Valuation, Greeks and Implied Volatility using R code from Diethelm Wuertz's fOptions
Google Colab with Code:
https://colab.research.google.com/dri...
For Explanation of Greeks please see here:
https://sites.google.com/view/vinegar...
The statistical software package R is one of the most promising tools for rapid prototyping of financial applications.
Here we will introduce programs or functions written in R code to estimate the Black Scholes model, their Greeks (or parameter sensitivities) and Implied Volatility. The code is of a very high standard and follows Espen Haug. Haug E.G., The Complete Guide to Option Pricing Formulas.
The R code is written to achieve high efficiency and optimization.