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: | 1.2.0 |
| Depends: | limSolve (≥ 2.0.1),futile.logger (≥ 1.4.1), R (≥ 3.5), methods (≥ 3.2.2) |
| Suggests: | testthat,roxygen2,knitr,rmarkdown,reshape2,stringr,ggplot2,MASS,RColorBrewer,BondValuation,R.cache,lubridate,treasury |
| Published: | 2025-07-10 |
| DOI: | 10.32614/CRAN.package.ragtop |
| Author: | Brian K. Boonstra [aut, cre] |
| Maintainer: | Brian K. Boonstra <ragtop at boonstra.org> |
| License: | GPL-2 |GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Materials: | README,NEWS |
| CRAN checks: | ragtop results |
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