Bjerksund-Stensland Model

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

The Bjerksund-Stensland 2002 model is an approximation method for pricing American options, particularly useful when dealing with dividend-paying stocks. Compute American option prices with continuous dividend yield or price European spread options using the Bjerksund-Stensland 2002 option pricing model with the following functions:

Functions

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impvbybjsDetermine implied volatility using Bjerksund-Stensland 2002 option pricing model
optstockbybjsPrice American options using Bjerksund-Stensland 2002 option pricing model
optstocksensbybjsDetermine 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

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