Pricing Equity Derivatives with Extensions of Black-Scholes

accelerated_coupon_value | Present value of coupons according to an acceleration... |

adjust_for_dividends | Find the sum of time-adjusted dividend values and adjust grid... |

american | Price one or more american-exercise options |

american_implied_volatility | Implied volatility of an american option with... |

AmericanOption-class | A standard option contract allowing for _early_ exercise at... |

blackscholes | Vectorized Black-Scholes pricing of european-exercise options |

black_scholes_on_term_structures | Black-Scholes pricing of european-exercise options with term... |

CALL | Constant CALL for defining option contracts |

CallableBond-class | Callable (and putable) corporate or government bond. |

construct_implicit_grid_structure | Structure of implicit numerical integration grid |

construct_tridiagonals | Matrix entries for implicit numerical differentiation using... |

control_variate_pairs | Form instrument objects for vanilla options |

ConvertibleBond-class | Convertible bond with exercise into stock |

CouponBond-class | Standard corporate or government bond |

coupon_value_at_exercise | Present value of coupons according to an acceleration... |

detail_from_AnnivDates | Convert output of BondValuation::AnnivDates to inputd for... |

EquityOption-class | An option contract with call or put terms |

equivalent_bs_vola_to_jump | Find straight Black-Scholes volatility equivalent to jump... |

equivalent_jump_vola_to_bs | Find jump process volatility with a given default risk from a... |

EuropeanOption-class | A standard option contract |

find_present_value | Use a model to estimate the present value of financial... |

fit_to_option_market | Calibrate volatilities and equity-linked default intensity |

fit_to_option_market_df | Calibrate volatilities and equity-linked default intensity... |

fit_variance_cumulation | Fit piecewise constant volatilities to a set of equity... |

form_present_value_grid | Use a model to estimate the present value of financial... |

GridPricedInstrument-class | Representation of financial instrument amenable to grid... |

implied_jump_process_volatility | Implied volatility of any instrument |

implied_volatilities | Implied volatilities of european-exercise options under... |

implied_volatilities_with_rates_struct | Find the implied volatility of european-exercise options with... |

implied_volatility | Implied volatility of european-exercise option under... |

implied_volatility_with_term_struct | Find the implied volatility of a european-exercise option... |

infer_conforming_time_grid | A time grid with extra times inserted for coupons, calls and... |

integrate_pde | Numerically integrate the pricing differential equation |

is.blank | Return TRUE if the argument is empty, NULL or NA |

iterate_grid_from_timestep | Iterate over a set of timesteps to integrate the pricing... |

penalty_with_intensity_link | Helper function (volatility-normalized pricing error) for... |

price_with_intensity_link | Helper function (instrument pricing) for calibration of... |

PUT | Constant PUT for defining option contracts |

Quandl_df_fcn_UST | Get a US Treasury curve discount factor function |

Quandl_df_fcn_UST_raw | Get a US Treasury curve discount factor function |

ragtop | Pricing schemes for derivatives using equity-linked default... |

shift_for_dividends | Shift a set of grid values for dividends paid, using spline... |

spot_to_df_fcn | Create a discount factor function from a yield curve |

take_implicit_timestep | Backwardate grid values one timestep |

time_adj_dividends | Find the sum of time-adjusted dividend values |

TIME_RESOLUTION_FACTOR | Constant to define when times are considered so close to each... |

TIME_RESOLUTION_SIGNIF_DIGITS | Constant to define when times are considered so close to each... |

timestep_instruments | Take an implicit timestep for all the given instruments |

TSLAMarket | Market information snapshot for TSLA options |

value_from_prior_coupons | Present value of past coupons paid |

variance_cumulation_from_vols | Create a variance cumulation function from a volatility term... |

ZeroCouponBond-class | A simple contract paying the 'notional' amount at the... |

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