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
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

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