Bjerksund-Stensland Model

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

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

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.

Concepts

Supported Equity Derivatives

Equity derivative instruments supported by Financial Instruments Toolbox™.