EquityOption-class

EquityOption

An option contract with call or put terms

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

EquityOption-class function

<dl>
<dt><code>strike</code></dt>
<dd>A decision price for the contract</dd></dl>
<dt><code>callput</code></dt>
<dd>Either <code>1</code> for a call or <code>-1</code> for a put</dd>

Fields

An option contract with call or put terms — EquityOption-class

<dl>
<dt><code>strike</code></dt>
<dd>A decision price for the contract</dd>


<dt><code>callput</code></dt>
<dd>Either <code>1</code> for a call or <code>-1</code> for a put</dd>


</dl>

EquityOption-class: An option contract with call or put terms

Description

Arguments

Fields