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)
|Author||Brian K. Boonstra|
|Date of publication||2016-09-28 17:10:48|
|Maintainer||Brian K. Boonstra <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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