Price European spread options using Bjerksund-Stensland pricing model

- example
`Price = spreadbybjs(RateSpec,StockSpec1,StockSpec2,Settle,Maturity,`

OptSpec,Strike,Corr)

returns
the price for a European spread option using the Bjerksund-Stensland
pricing model.`Price`

= spreadbybjs(`RateSpec`

,`StockSpec1`

,`StockSpec2`

,`Settle`

,`Maturity`

,`OptSpec`

,`Strike`

,`Corr`

)

Carmona, R., Durrleman, V. "Pricing and Hedging Spread
Options." *SIAM Review.* Vol. 45, No. 4,
pp. 627–685, Society for Industrial and Applied Mathematics,
2003.

Bjerksund, Petter, Stensland, Gunnar. *"Closed
form spread option valuation."* Department of Finance,
NHH, 2006.

Was this topic helpful?