Closed-Form Solutions Modeling

To learn about the Bjerksund-Stensland 2002 model, see:

Bjerksund, P. and G. Stensland, Closed-Form Approximation of American Options, Scandinavian Journal of Management, 1993, Vol. 9, Suppl., pp. S88-S99.

Bjerksund, P. and G. Stensland, Closed Form Valuation of American Options, Discussion paper 2002 (http://bora.nhh.no/bitstream/2330/711/1/bjerksund%20petter%200902.pdf).

Equal Probabilities Tree (EQP) Modeling

Financial Derivatives

© 1984-2012- The MathWorks, Inc.    -   Site Help   -   Patents   -   Trademarks   -   Privacy Policy   -   Preventing Piracy   -   RSS