ragtop

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.

Last 30 days

This package has been downloaded 231 times in the last 30 days. Enough downloads to make a small wave in the niche community. The curiosity is spreading! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 18 times.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

This package has been downloaded 3,267 times in the last 365 days. That's enough downloads to impress a room full of undergrads. A commendable achievement indeed. The day with the most downloads was Jan 30, 2025 with 45 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.