OPT_BJER_STENS

OPT_BJER_STENS theoretical price of American options according to the Bjerksund & Stensland approximation technique

Synopsis

OPT_BJER_STENS(call_put_flag,spot,strike,time,rate,volatility,cost_of_carry)

Arguments

call_put_flag: 'c' for a call and 'p' for a put

spot: spot price

strike: strike price

time: time to maturity in days

rate: annualized risk-free interest rate

volatility: annualized volatility of the asset

cost_of_carry: net cost of holding the underlying asset (for common stocks, the risk free rate less the dividend yield), defaults to 0