# optstocksensbybjs

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

## Syntax

## Description

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.

**Note**

Alternatively, you can use the `Vanilla`

object to calculate
price or sensitivities for vanilla options. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

adds an optional name-value pair argument for `PriceSens`

= optstocksensbybjs(___,`Name,Value`

)`OutSpec`

.

## Examples

## Input Arguments

## Output Arguments

## More About

## References

[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.

## Version History

**Introduced in R2008b**

## See Also

`impvbybjs`

| `intenvset`

| `optstockbybjs`

| `stockspec`

| `Vanilla`

### Topics

- Equity Derivatives Using Closed-Form Solutions
- Pricing Using the Bjerksund-Stensland Model
- Price European Vanilla Call Options Using Black-Scholes Model and Different Equity Pricers
- Vanilla Option
- Bjerksund-Stensland 2002 Model
- Supported Equity Derivative Functions
- Mapping Financial Instruments Toolbox Functions for Equity, Commodity, FX Instrument Objects