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) . We use ideas and techniques from Andersen and Buffum (2002) and Linetsky (2006) .

Maintainer: Brian K. Boonstra <ragtop at boonstra.org>

Author(s): Brian K. Boonstra

Install package and any missing dependencies by running this line in your R console:

install.packages("ragtop")

Depends limSolve(>=1.5.5.1), futile.logger(>=1.4.1), R (>= 2.10), methods (>= 3.2.2)
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Suggests testthat, roxygen2, knitr, rmarkdown, reshape2, stringr, ggplot2, MASS, RColorBrewer, R.cache, Quandl
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Package ragtop
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URL
Task Views Finance
Version 0.5
Published 2016-09-28
License GPL (>= 2)
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NeedsCompilation no
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Package source ragtop_0.5.tar.gz