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List:       r-sig-finance
Subject:    Re: [R-SIG-Finance] Options solution?
From:       BBands <bbands () gmail ! com>
Date:       2013-10-10 0:15:05
Message-ID: CAGS5yBWnbaVV24_Zpuy-t+N42RaHLNpfe926E9O_PZwzwR8xug () mail ! gmail ! com
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That's interesting and I will explore. Thanks. My interest lies in
really short-term options where often the BS values don't seem to make
a lot of sense, so I am looking into different modeling methods. This
was all inspired by the discovery of decent liquidity in the weekly
options and the sort of Xmas-like idea of an expiration a week. Any
thoughts on analysing very sort-term options in R very welcome.

Best,

     John

On Tue, Oct 8, 2013 at 6:35 PM, Kris <kk2250@optonline.net> wrote:
> Another way to get the greeks besides Jeff's excellent package could be with AD tools in R.
> I just noticed that there was a GSOC to add automatic differentiation in R and
> the package radx on github looks promising.  One could to automagically compute
> greeks on the fly for free.

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