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Pricing Equity Derivatives with Extensions of Black-Scholes.


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) . We use ideas and techniques from Andersen and Buffum (2002) and Linetsky (2006) .

Maintainer: Brian K. Boonstra
Author(s): Brian K. Boonstra

License: GPL (>= 2)

Uses: futile.logger, limSolve, R.cache, RColorBrewer, ggplot2, MASS, stringr, testthat, reshape2, roxygen2, knitr, Quandl, rmarkdown

Released 12 months ago.