| Name : R-ragtop
| |
| Version : 1.1.1
| Vendor : obs://build_opensuse_org/devel:languages:R
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| Release : lp153.2.13
| Date : 2024-06-14 11:39:08
|
| Group : Development/Libraries/Other
| Source RPM : R-ragtop-1.1.1-lp153.2.13.src.rpm
|
| Size : 0.59 MB
| |
| Packager : (none)
| |
| Summary : 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>.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
