The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.

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: 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

Documentation:

Reference manual: ragtop.pdf
Vignettes: ragtop: Pricing equity derivatives with extensions of Black-Scholes

Downloads:

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

Linking:

Please use the canonical form https://CRAN.R-project.org/package=ragtop to link to this page.

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.