Package: ragtop
Type: Package
Title: Pricing Equity Derivatives with Extensions of Black-Scholes
Version: 1.1.1
Date: 2020-02-29
Author: Brian K. Boonstra
Maintainer: Brian K. Boonstra <ragtop@boonstra.org>
Description: 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>.
Depends: limSolve (>= 1.5.5.1), futile.logger (>= 1.4.1), R (>= 2.10),
        methods (>= 3.2.2)
Suggests: testthat, roxygen2, knitr, rmarkdown, reshape2, stringr,
        ggplot2, MASS, RColorBrewer, BondValuation, R.cache, Quandl
License: GPL (>= 2)
Encoding: UTF-8
LazyData: TRUE
VignetteBuilder: knitr
RoxygenNote: 7.0.2
NeedsCompilation: no
Packaged: 2020-03-03 03:48:55 UTC; brian
Repository: CRAN
Date/Publication: 2020-03-03 09:00:02 UTC
Built: R 4.0.2; ; 2020-07-16 09:54:45 UTC; unix
