Package: ragtop
Type: Package
Title: Pricing Equity Derivatives with Extensions of Black-Scholes
Version: 1.2.0
Date: 2025-07-09
Authors@R: person(given = c("Brian", "K."),
                   family = "Boonstra",
                   role = c("aut", "cre"),
                   email = "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 (>= 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
License: GPL (>= 2)
Encoding: UTF-8
LazyData: TRUE
VignetteBuilder: knitr
RoxygenNote: 7.3.2
NeedsCompilation: no
Packaged: 2025-07-10 20:18:25 UTC; brian
Author: Brian K. Boonstra [aut, cre]
Maintainer: Brian K. Boonstra <ragtop@boonstra.org>
Repository: CRAN
Date/Publication: 2025-07-10 21:40:02 UTC
Built: R 4.3.3; ; 2025-07-14 22:31:46 UTC; unix
