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Determine American option prices or sensitivities using Bjerksund-Stensland 2002 option pricing model

`PriceSens = optstocksensbybjs(RateSpec,StockSpec,Settle,Maturity,OptSpec,Strike)`

`PriceSens = optstocksensbybjs(___,Name,Value)`

computes American option prices or sensitivities using the Bjerksund-Stensland 2002 option
pricing model.`PriceSens`

= optstocksensbybjs(`RateSpec`

,`StockSpec`

,`Settle`

,`Maturity`

,`OptSpec`

,`Strike`

)

`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)