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ragtop  

Pricing Equity Derivatives with Extensions of Black-Scholes
View on CRAN: Click here


Download and install ragtop package within the R console
Install from CRAN:
install.packages("ragtop")

Install from Github:
library("remotes")
install_github("cran/ragtop")

Install by package version:
library("remotes")
install_version("ragtop", "2.0.0")



Attach the package and use:
library("ragtop")
Maintained by
Brian K. Boonstra
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2016-09-28
Latest Update: 2025-07-10
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) . We use ideas and techniques from Andersen and Buffum (2002) and Linetsky (2006) .
How to cite:
Brian K. Boonstra (2016). ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes. R package version 2.0.0, https://cran.r-project.org/web/packages/ragtop. Accessed 26 Oct. 2026.
Previous versions and publish date:
(2026-07-09 06:48), 0.5 (2016-09-28 17:10), 1.0.0 (2018-12-15 16:10), 1.1.0 (2019-05-20 21:00), 1.1.1 (2020-03-03 10:00), 1.2.0 (2025-07-10 23:40), 1.2.1 (2026-06-15 17:20), 1.3.1 (2026-06-20 17:20)
Other packages that cited ragtop R package
View ragtop citation profile
Other R packages that ragtop depends, imports, suggests or enhances
Complete documentation for ragtop
Functions, R codes and Examples using the ragtop R package
Some associated functions: AmericanOption-class . CALL . CallableBond-class . ConvertibleBond-class . CouponBond-class . EquityOption-class . EuropeanOption-class . GridPricedInstrument-class . PUT . Quandl_df_fcn_UST . Quandl_df_fcn_UST_raw . TIME_RESOLUTION_FACTOR . TIME_RESOLUTION_SIGNIF_DIGITS . TSLAMarket . ZeroCouponBond-class . accelerated_coupon_value . adjust_for_dividends . american . american_implied_volatility . black_scholes_on_term_structures . blackscholes . construct_implicit_grid_structure . construct_tridiagonals . control_variate_pairs . coupon_value_at_exercise . detail_from_AnnivDates . equivalent_bs_vola_to_jump . equivalent_jump_vola_to_bs . find_present_value . fit_to_option_market . fit_to_option_market_df . fit_variance_cumulation . form_present_value_grid . implied_jump_process_volatility . implied_volatilities . implied_volatilities_with_rates_struct . implied_volatility . implied_volatility_with_term_struct . infer_conforming_time_grid . integrate_pde . is.blank . iterate_grid_from_timestep . penalty_with_intensity_link . price_with_intensity_link . ragtop . shift_for_dividends . spot_to_df_fcn . take_implicit_timestep . time_adj_dividends . timestep_instruments . value_from_prior_coupons . variance_cumulation_from_vols . 
Some associated R codes: american_options.R . blackscholes.R . calibration.R . cashflows.R . cc_code.R . data.R . implicit.R . instruments.R . ragtop.R . term_structures.R . util.R . zzz.R .  Full ragtop package functions and examples
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