ragtop
Pricing Equity Derivatives with Extensions of Black-Scholes
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>.
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CRAN Check Status
Show all 13 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check History
OK 13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Jun 21, 2026
ERROR 11 OK · 0 NOTE · 0 WARNING · 3 ERROR · 0 FAILURE Mar 10, 2026
re-building of vignette outputs
Error(s) in re-building vignettes: --- re-building ‘ragtop_convertibles_in_r.Rmd’ using rmarkdown Quitting from ragtop_convertibles_in_r.Rmd:424-461 [twitter_cb_via_BondValuation] ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ ...[truncated]... in_r.Rmd' failed with diagnostics: argument is of length zero --- failed re-building ‘ragtop_convertibles_in_r.Rmd’ SUMMARY: processing the following file failed: ‘ragtop_convertibles_in_r.Rmd’ Error: Vignette re-building failed. Execution halted
re-building of vignette outputs
Error(s) in re-building vignettes: --- re-building ‘ragtop_convertibles_in_r.Rmd’ using rmarkdown 2026-03-11 03:38:23.054 R[19696:634817] XType: Using static font registry. Quitting from ragtop_convertibles_in_r.Rmd:424-461 [twitter_cb_via_BondValua ...[truncated]... in_r.Rmd' failed with diagnostics: argument is of length zero --- failed re-building ‘ragtop_convertibles_in_r.Rmd’ SUMMARY: processing the following file failed: ‘ragtop_convertibles_in_r.Rmd’ Error: Vignette re-building failed. Execution halted
re-building of vignette outputs
Error(s) in re-building vignettes: --- re-building ‘ragtop_convertibles_in_r.Rmd’ using rmarkdown 2026-03-11 08:22:48.489 R[29498:188131] XType: Using static font registry. Quitting from ragtop_convertibles_in_r.Rmd:424-461 [twitter_cb_via_BondValua ...[truncated]... in_r.Rmd' failed with diagnostics: argument is of length zero --- failed re-building ‘ragtop_convertibles_in_r.Rmd’ SUMMARY: processing the following file failed: ‘ragtop_convertibles_in_r.Rmd’ Error: Vignette re-building failed. Execution halted