TIME_RESOLUTION_SIGNIF_DIGITS

<p>Constant to define when times are considered so close to each other
 that they should be treated as simultaneous, in terms of significant
 digits</p>

datasets

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

TIME_RESOLUTION_SIGNIF_DIGITS function

<p>An object of class <code>numeric</code> of length 1.</p>

Format

Constant to define when times are considered so close to each other
 that they should be treated as simultaneous, in terms of significant
 digits — TIME_RESOLUTION_SIGNIF_DIGITS

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TIME_RESOLUTION_SIGNIF_DIGITS: Constant to define when times are considered so close to each other that they should be treated as simultaneous, in terms of significant digits

Description

Usage

Arguments

Format