ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes
Algorithms to price American and European
equity options, convertible bonds and a
variety of other financial derivatives. It uses an
extension of the usual Black-Scholes model in which
jump to default may occur at a probability specified
by a power-law link between stock price and hazard
rate as found in the paper by Takahashi, Kobayashi,
and Nakagawa (2001) <doi:10.3905/jfi.2001.319302>. We
use ideas and techniques from Andersen and
Buffum (2002) <doi:10.2139/ssrn.355308> and
Linetsky (2006) <doi:10.1111/j.1467-9965.2006.00271.x>.
| Version: |
1.1.1 |
| Depends: |
limSolve (≥ 1.5.5.1), futile.logger (≥ 1.4.1), R (≥ 2.10), methods (≥ 3.2.2) |
| Suggests: |
testthat, roxygen2, knitr, rmarkdown, reshape2, stringr, ggplot2, MASS, RColorBrewer, BondValuation, R.cache, Quandl |
| Published: |
2020-03-03 |
| DOI: |
10.32614/CRAN.package.ragtop |
| Author: |
Brian K. Boonstra |
| Maintainer: |
Brian K. Boonstra <ragtop at boonstra.org> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
no |
| Materials: |
README NEWS |
| In views: |
Finance |
| CRAN checks: |
ragtop results |
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