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: 1.2.0 Depends: limSolve (≥ 2.0.1), futile.logger (≥ 1.4.1), R (≥ 3.5), methods (≥ 3.2.2) Suggests: testthat, roxygen2, knitr, rmarkdown, reshape2, stringr, ggplot2, MASS, RColorBrewer, BondValuation, R.cache, lubridate, treasury Published: 2025-07-10 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 Documentation: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=ragtop to link to this page.
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