[R-SIG-Finance] American option sensitivities

J Toll jctoll at gmail.com
Fri Feb 10 00:06:38 CET 2012


I'd like to calculate sensitivities on American options.  I was hoping
somebody might be able to summarize of the current state of that
functionality within the various R packages.  It's my understanding
that the fOptions package can calculate greeks for European options
but not American.  RQuantLib appears to have had the ability to
calculate greeks for American options at one point, but it appears
that functionality was removed in Release 0.1.8 sometime around


Additionally, from RQuantLib ?AmericanOptions says,

"Note that under the new pricing framework used in QuantLib, binary
pricers do not provide analytics for 'Greeks'. This is expected to be
addressed in future releases of QuantLib."

I haven't found any other packages for calculating option
sensitivities.  Are there any other packages?

Regarding RQuantLib, is the issue that that functionality hasn't been
implemented in R yet, or is it QuantLib that's broken?

Thanks for any clarification.



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