Black Scholes Greeks using the Derivmkts R package with standard graphing and ggplot2
To inspect code please follow link to Google Colab:
https://colab.research.google.com/dri...
and VinegarHill:
https://sites.google.com/view/vinegar...
Options greeks are mathematical derivatives of the option price with respect to inputs; see McDonald (2013), Chapters 12 and 13, for a discussion of the greeks for vanilla options.
https://bit.ly/37b5YqM
Greeks for vanilla and barrier options can be computed using the greeks function, which is a wrapper for any pricing function that returns the option price and which uses the default naming of inputs. In the Derivmkts package. Professor McDonald has two alternative functions that return Greeks:
The bsopt function by default produces prices and Greeks for European calls and puts.
The greeks2 function takes as arguments the name of the pricing function and then inputs as a list