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>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.2.0 |
rolling linux/jammy R-4.5 | ragtop_1.2.0.tar.gz |
497.0 KiB |
1.2.0 |
rolling linux/noble R-4.5 | ragtop_1.2.0.tar.gz |
496.7 KiB |
1.2.0 |
rolling source/ R- | ragtop_1.2.0.tar.gz |
132.5 KiB |
1.2.0 |
latest linux/jammy R-4.5 | ragtop_1.2.0.tar.gz |
497.0 KiB |
1.2.0 |
latest linux/noble R-4.5 | ragtop_1.2.0.tar.gz |
496.7 KiB |
1.2.0 |
latest source/ R- | ragtop_1.2.0.tar.gz |
132.5 KiB |
1.2.0 |
2026-04-26 source/ R- | ragtop_1.2.0.tar.gz |
132.5 KiB |
1.2.0 |
2026-04-23 source/ R- | ragtop_1.2.0.tar.gz |
132.5 KiB |
1.2.0 |
2026-04-09 windows/windows R-4.5 | ragtop_1.2.0.zip |
501.9 KiB |
1.1.1 |
2025-04-20 source/ R- | ragtop_1.1.1.tar.gz |
178.9 KiB |