Determine American option prices or sensitivities using Bjerksund-Stensland 2002 option pricing model
computes American option prices or sensitivities using the Bjerksund-Stensland 2002 option
pricing model.PriceSens
= optstocksensbybjs(RateSpec
,StockSpec
,Settle
,Maturity
,OptSpec
,Strike
)
Note
optstocksensbybjs
computes prices of American options with
continuous dividend yield using the Bjerksund-Stensland option pricing model. All
sensitivities are evaluated by computing a discrete approximation of the partial
derivative. This means that the option is revalued with a fractional change for each
relevant parameter, and the change in the option value divided by the increment, is
the approximated sensitivity value.
adds an optional name-value pair argument for PriceSens
= optstocksensbybjs(___,Name,Value
)OutSpec
.
[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)