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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 |
DOI: | 10.32614/CRAN.package.ragtop |
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 (arm64): ragtop_1.1.1.tgz, r-oldrel (arm64): ragtop_1.1.1.tgz, r-release (x86_64): ragtop_1.1.1.tgz, r-oldrel (x86_64): ragtop_1.1.1.tgz |
Old sources: | ragtop archive |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.