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: | 1.1.1 |
| 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, BondValuation, R.cache, Quandl |
| Published: | 2020-03-03 |
| 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 NEWS |
| In views: | Finance |
| CRAN checks: | ragtop results |
| Reference manual: | ragtop.pdf |
| Vignettes: |
ragtop: Pricing equity derivatives with extensions of Black-Scholes |
| Package source: | ragtop_1.1.1.tar.gz |
| Windows binaries: | r-devel: ragtop_1.1.1.zip, r-release: ragtop_1.1.1.zip, r-oldrel: ragtop_1.1.1.zip |
| macOS binaries: | r-release: ragtop_1.1.1.tgz, r-oldrel: ragtop_1.1.1.tgz |
| Old sources: | ragtop archive |
Please use the canonical form https://CRAN.R-project.org/package=ragtop to link to this page.