Algorithms to price American and European equity options, convertible bonds and a variety of other financial derivatives. It uses an extension of the usual BlackScholes model in which jump to default may occur at a probability specified by a powerlaw 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.14679965.2006.00271.x>.
Package details 


Author  Brian K. Boonstra 
Maintainer  Brian K. Boonstra <[email protected]> 
License  GPL (>= 2) 
Version  1.0.0 
Package repository  View on GitHub 
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