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Pricing Equity Derivatives with Extensions of Black-Scholes

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About

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.

Key Metrics

Version 1.1.1
R ≥ 2.10
Published 2020-03-03 1684 days ago
Needs compilation? no
License GPL-2
License GPL-3
CRAN checks ragtop results

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Maintainer

Maintainer

Brian K. Boonstra

Authors

Brian K. Boonstra

Material

README
NEWS
Reference manual
Package source

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ragtop: Pricing equity derivatives with extensions of Black-Scholes

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

ragtop archive

Depends

limSolve ≥ 1.5.5.1
futile.logger ≥ 1.4.1
R ≥ 2.10
methods ≥ 3.2.2

Suggests

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roxygen2
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