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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>.

copied from cf-staging / r-ragtop
Type Size Name Uploaded Downloads Labels
conda 557.8 kB | noarch/r-ragtop-1.1.1-r44hc72bb7e_2.conda  5 months and 3 days ago 438 main
conda 558.9 kB | noarch/r-ragtop-1.1.1-r43hc72bb7e_2.conda  5 months and 3 days ago 425 main
conda 559.7 kB | noarch/r-ragtop-1.1.1-r43hc72bb7e_1.conda  1 year and 4 months ago 792 main
conda 554.9 kB | noarch/r-ragtop-1.1.1-r42hc72bb7e_1.conda  1 year and 4 months ago 792 main
conda 554.2 kB | noarch/r-ragtop-1.1.1-r42hc72bb7e_0.conda  1 year and 4 months ago 777 main

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