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Bjerksund-Stensland Model

Calculate implied volatility, price, and sensitivity using option pricing model

Functions

impvbybjs Determine implied volatility using Bjerksund-Stensland 2002 option pricing model
optstockbybjs Price American options using Bjerksund-Stensland 2002 option pricing model
optstocksensbybjs Determine American option prices or sensitivities using Bjerksund-Stensland 2002 option pricing model
spreadbybjs Price European spread options using Bjerksund-Stensland pricing model
spreadsensbybjs Calculate European spread option prices or sensitivities using Bjerksund-Stensland pricing model

Examples and How To

Equity Derivatives Using Closed-Form Solutions

Financial Instruments Toolbox™ supports four types of closed-form solutions and analytical approximations to calculate price and sensitivities.

Pricing Using the Bjerksund-Stensland Model

Calculate the price of the American calls and puts using the Bjerksund-Stensland model.

Concepts

Bjerksund-Stensland 2002 Model

Use the Bjerksund-Stensland 2002 model for pricing American puts and calls with continuous dividend yield.

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