ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes
Version 0.5

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) . We use ideas and techniques from Andersen and Buffum (2002) and Linetsky (2006) .

Package details

AuthorBrian K. Boonstra
Date of publication2016-09-28 17:10:48
MaintainerBrian K. Boonstra <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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ragtop documentation built on May 29, 2017, 2:53 p.m.