Price American options using Bjerksund-Stensland 2002 option pricing model
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.
[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 (https://www.scribd.com/doc/215619796/Closed-form-Valuation-of-American-Options-by-Bjerksund-and-Stensland#scribd)