optstockbybjs
Price American options using Bjerksund-Stensland 2002 option pricing model
Description
computes American option prices with continuous dividend yield using the
Bjerksund-Stensland 2002 option pricing model.Price
= optstockbybjs(RateSpec
,StockSpec
,Settle
,Maturity
,OptSpec
,Strike
)
Note
optstockbybjs
computes prices of American options with
continuous dividend yield using the Bjerksund-Stensland option pricing model.
Examples
Input Arguments
Output Arguments
More About
References
[1] Bjerksund, P. and G. Stensland. “Closed-Form Approximation of American Options.” Scandinavian Journal of Management. Vol. 9, 1993, Suppl., pp. S88–S99.
[2] Bjerksund, P. and G. Stensland. “Closed Form Valuation of American Options.” Discussion paper, 2002.