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: | 1.3.1 |
| Depends: | R (≥ 3.5) |
| Imports: | futile.logger (≥ 1.4.1), methods (≥ 3.2.2), stats |
| Suggests: | BondValuation, ggplot2, knitr, limSolve (≥ 2.0.1), lubridate, MASS, Matrix, R.cache, RColorBrewer, reshape2, rmarkdown, roxygen2, stringr, testthat (≥ 3.0.0), treasury |
| Published: | 2026-06-20 |
| 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 |
| Reference manual: | ragtop.html , ragtop.pdf |
| Vignettes: |
ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes (source, R code) |
| Package source: | ragtop_1.3.1.tar.gz |
| Windows binaries: | r-devel: ragtop_1.3.1.zip, r-release: ragtop_1.3.1.zip, r-oldrel: ragtop_1.3.1.zip |
| macOS binaries: | r-release (arm64): ragtop_1.3.1.tgz, r-oldrel (arm64): ragtop_1.3.1.tgz, r-release (x86_64): ragtop_1.3.1.tgz, r-oldrel (x86_64): ragtop_1.3.1.tgz |
| Old sources: | ragtop archive |
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