Pricing Equity Derivatives with Extensions of Black-Scholes
Present value of coupons according to an acceleration schedule
Find the sum of time-adjusted dividend values and adjust grid prices a...
Price one or more american-exercise options
Implied volatility of an american option with equity-independent term ...
A standard option contract allowing for early exercise at the choi...
Black-Scholes pricing of european-exercise options with term structure...
Vectorized Black-Scholes pricing of european-exercise options
Constant CALL for defining option contracts
Callable (and putable) corporate or government bond.
Structure of implicit numerical integration grid
Matrix entries for implicit numerical differentiation using Neumann bo...
Form instrument objects for vanilla options
Convertible bond with exercise into stock
Present value of coupons according to an acceleration schedule
Standard corporate or government bond
Convert output of BondValuation::AnnivDates to inputd for Bond
An option contract with call or put terms
Find straight Black-Scholes volatility equivalent to jump process with...
Find jump process volatility with a given default risk from a straight...
A standard option contract
Use a model to estimate the present value of financial derivatives
Calibrate volatilities and equity-linked default intensity
Calibrate volatilities and equity-linked default intensity making many...
Fit piecewise constant volatilities to a set of equity options
Use a model to estimate the present value of financial derivatives on ...
Representation of financial instrument amenable to grid pricing scheme...
Implied volatility of any instrument
Implied volatilities of european-exercise options under Black-Scholes ...
Find the implied volatility of european-exercise options with a term s...
Implied volatility of european-exercise option under Black-Scholes or ...
Find the implied volatility of a european-exercise option with term st...
A time grid with extra times inserted for coupons, calls and puts
Numerically integrate the pricing differential equation
Return TRUE if the argument is empty, NULL or NA
Iterate over a set of timesteps to integrate the pricing differential ...
Helper function (volatility-normalized pricing error) for calibration ...
Helper function (instrument pricing) for calibration of equity-linked ...
Constant PUT for defining option contracts
Get a US Treasury curve discount factor function
Get a US Treasury curve discount factor function
Pricing schemes for derivatives using equity-linked default intensity
Shift a set of grid values for dividends paid, using spline interpolat...
Create a discount factor function from a yield curve
Backwardate grid values one timestep
Find the sum of time-adjusted dividend values
Constant to define when times are considered so close to each other th...
Constant to define when times are considered so close to each other th...
Take an implicit timestep for all the given instruments
Present value of past coupons paid
Create a variance cumulation function from a volatility term structure
A simple contract paying the notional amount at the maturity
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>.