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>.

Version: 0.5
Depends: limSolve (≥ 1.5.5.1), futile.logger (≥ 1.4.1), R (≥ 2.10), methods (≥ 3.2.2)
Suggests: testthat, roxygen2, knitr, rmarkdown, reshape2, stringr, ggplot2, MASS, RColorBrewer, R.cache, Quandl
Published: 2016-09-28
Author: Brian K. Boonstra
Maintainer: Brian K. Boonstra <ragtop at boonstra.org>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Materials: README
In views: Finance
CRAN checks: ragtop results

Downloads:

Reference manual: ragtop.pdf
Vignettes: ragtop: Pricing equity derivatives with extensions of Black-Scholes
Package source: ragtop_0.5.tar.gz
Windows binaries: r-devel: ragtop_0.5.zip, r-release: ragtop_0.5.zip, r-oldrel: ragtop_0.5.zip
OS X Mavericks binaries: r-release: ragtop_0.5.tgz, r-oldrel: ragtop_0.5.tgz

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