24 июн. 2023 г. · I'm trying to recreate options pricing with python for backtesting with the Black Scholes model. ... Try the Bjerksund-Stensland model instead.

3 дек. 2021 г. · Has anyone tried to replicate the results from “Closed Form Valuation of American Options” by Bjerksund and Stensland?

31 мар. 2024 г. · Examples include the Barone-Adesi and Whaley approximation for American options and the Bjerksund and Stensland approximation for options with ...

Has anyone tried to replicate the results from “Closed Form Valuation of American Options” by Bjerksund and Stensland?

13 июн. 2023 г. · In OptionStrats FAQ section, they say they use the Bjerksund Stensland model of valuing options. Here's the simple python function I've used ...

27 апр. 2018 г. · I've run a bjerksund-stensland model as well, but still found it to be less accurate than the binomial with a large n for American options.

6 июн. 2022 г. · Bjerksund-stensland is worth looking at. Sure, it only provides a closed-form approximation to the option's true value. But this inaccuracy ...

26 июл. 2020 г. · Right, BSM is meant to describe European exercise; there's quite a few for approximating American exercise (Bjerksund-Stensland, binomial, ...

7 апр. 2020 г. · ThinkOrSwim uses the Bjerksund-Stensland Model [1] - I assume this is the "annualized" implied volatility aforementioned, because it is an ...

16 янв. 2020 г. · ThinkOrSwim uses the Bjerksund-Stensland model by default which is a specifically designed to price American options (options that can be ...