Quandl_df_fcn_UST

Arguments passed to <code><a rd-options="" href="/link/Quandl_df_fcn_UST_raw?package=ragtop&version=1.1.1" data-mini-rdoc="ragtop::Quandl_df_fcn_UST_raw">Quandl_df_fcn_UST_raw</a></code>

Environment passed to <code><a rd-options="" href="/link/Quandl_df_fcn_UST_raw?package=ragtop&version=1.1.1" data-mini-rdoc="ragtop::Quandl_df_fcn_UST_raw">Quandl_df_fcn_UST_raw</a></code>

envir

This is a caching wrapper for <code><a rd-options="" href="/link/Quandl_df_fcn_UST_raw?package=ragtop&version=1.1.1" data-mini-rdoc="ragtop::Quandl_df_fcn_UST_raw">Quandl_df_fcn_UST_raw</a></code>

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>.

Brian Boonstra

ragtop

Pricing Equity Derivatives with Extensions of Black-Scholes

Quandl_df_fcn_UST function

Arguments passed to <code><a rd-options='' href='Quandl_df_fcn_UST_raw'>Quandl_df_fcn_UST_raw</a></code>

Environment passed to <code><a rd-options='' href='Quandl_df_fcn_UST_raw'>Quandl_df_fcn_UST_raw</a></code>

This is a caching wrapper for <code><a rd-options='' href='Quandl_df_fcn_UST_raw'>Quandl_df_fcn_UST_raw</a></code>

Quandl_df_fcn_UST: Get a US Treasury curve discount factor function

Description

Usage

Arguments

Value