brianboonstra/ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes

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>.

Getting started

Package details

AuthorBrian K. Boonstra
MaintainerBrian K. Boonstra <[email protected]>
LicenseGPL (>= 2)
Version1.0.0
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("brianboonstra/ragtop")
brianboonstra/ragtop documentation built on Dec. 15, 2018, 4:08 p.m.