bjerksund_stensland_2002

module jetblack_options.american.bjerksund_stensland_2002

Summary

Option valuation functions implementing the Bjerksund and Stensland (2002)

Description

American approximation

function jetblack_options.american.bjerksund_stensland_2002.ivol

Summary

Calculate the volatility of an option that is implied by the price.

jetblack_options.american.bjerksund_stensland_2002.ivol(

is_call: bool,

S: float,

K: float,

T: float,

r: float,

b: float,

p: float,

*,

max_iterations: int, Optional,

epsilon: float, Optional

) -> float

Parameters

is_call: bool

True for a call, false for a put.

S: float

The current asset price.

K: float

The option strike price

T: float

The time to expiry of the option in years.

r: float

The risk free rate.

b: float

The cost of carry of the asset.

p: float

The option price.

max_iterations: int, Optional

The maximum number of iterations before a price is returned. Defaults to 20.

epsilon: float, Optional (optional)

The largest acceptable error. Defaults to 1e-8.

Returns

float: The implied volatility.

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function jetblack_options.american.bjerksund_stensland_2002.make_numeric_greeks

Summary

Make a class to generate greeks numerically using finite difference methods.

jetblack_options.american.bjerksund_stensland_2002.make_numeric_greeks(

is_call: bool

) -> NumericGreeks

Parameters

is_call: bool

If true the options is a call; otherwise it is a put.

Returns

NumericGreeks: A class which can generate Greeks using finite difference methods.

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function jetblack_options.american.bjerksund_stensland_2002.price

Summary

The Bjerksund and Stensland (2002) American approximation.

jetblack_options.american.bjerksund_stensland_2002.price(

is_call: bool,

S: float,

K: float,

T: float,

r: float,

b: float,

v: float

) -> float

Parameters

is_call: bool

True for a call, false for a put.

S: float

The current asset price.

K: float

The option strike price

T: float

The time to maturity of the option in years.

r: float

The risk free rate.

b: float

The cost of carry of the asset.

v: float

The volatility of the asset.

Returns

float: The price of the option.

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