Package: ragtop 1.1.1
Brian K. Boonstra
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>.
Authors:
ragtop_1.1.1.tar.gz
ragtop_1.1.1.tar.gz(r-4.5-noble)ragtop_1.1.1.tar.gz(r-4.4-noble)
ragtop_1.1.1.tgz(r-4.4-emscripten)ragtop_1.1.1.tgz(r-4.3-emscripten)
ragtop.pdf |ragtop.html✨
ragtop/json (API)
NEWS
# Install 'ragtop' in R: |
install.packages('ragtop', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
- TSLAMarket - Market information snapshot for TSLA options
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 5 years agofrom:41384b6fd7. Checks:OK: 1 WARNING: 1. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 29 2024 |
R-4.5-linux | WARNING | Nov 29 2024 |
Exports:accelerated_coupon_valueadjust_for_dividendsamericanamerican_implied_volatilityAmericanOptionblack_scholes_on_term_structuresblackscholesCALLCallableBondconstruct_tridiagonalsConvertibleBondcoupon_value_at_exerciseCouponBonddetail_from_AnnivDatesEquityOptionequivalent_bs_vola_to_jumpequivalent_jump_vola_to_bsEuropeanOptionfind_present_valuefit_to_option_marketfit_to_option_market_dffit_variance_cumulationform_present_value_gridGridPricedInstrumentimplied_jump_process_volatilityimplied_volatilitiesimplied_volatilities_with_rates_structimplied_volatilityimplied_volatility_with_term_structintegrate_pdeis.blankiterate_grid_from_timesteppenalty_with_intensity_linkprice_with_intensity_linkPUTQuandl_df_fcn_USTQuandl_df_fcn_UST_rawspot_to_df_fcntake_implicit_timesteptime_adj_dividendsTIME_RESOLUTION_FACTORTIME_RESOLUTION_SIGNIF_DIGITSvariance_cumulation_from_volsZeroCouponBond
Dependencies:formatRfutile.loggerfutile.optionslambda.rlimSolvelpSolveMASSquadprog