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American vanilla options - Analytical approximations #9

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domokane opened this issue Oct 1, 2020 · 4 comments
Open

American vanilla options - Analytical approximations #9

domokane opened this issue Oct 1, 2020 · 4 comments
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enhancement New feature or request Finance Quant good first issue Good for newcomers

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@domokane
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domokane commented Oct 1, 2020

Add to the model library a set of the American option approximations within Black-Scholes using

  • Barone-Adesi and Whaley.
  • Bjerksund and Stensland (1993 and 2002)
@domokane domokane added Finance Quant enhancement New feature or request good first issue Good for newcomers labels Oct 1, 2020
@rkcah
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rkcah commented Mar 12, 2022

I will take a look at this. I think so Barone-Adesi and Whaley is already implemented. I will read the Bjerksund and Stensland 93 paper and see what's the best way to start implementing.

@domokane
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OK. Given Barone-Adesi has been done you might want to try something else. Would this one be of interest ?

#117

@shunmaruko
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shunmaruko commented Feb 21, 2023 •
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Dear Dominic,
Thank you for such a nice project!
It seems that Bjerksund and Stensland formula has not yet been implemented.
So if nobody is trying, I will work on it.

@domokane
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Ok. Please go for it.
Best
D

This was referenced Feb 22, 2023
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domokane added a commit that referenced this issue Feb 25, 2023
@domokane
Merge pull request #163 from shunmaruko/add-bjerksund-stensland-forumla
49262fb 
Add notebook for Bjerksund-Stensland method #9
shunmaruko added a commit to shunmaruko/FinancePy that referenced this issue Feb 26, 2023
@shunmaruko
Revert "Add notebook for Bjerksund-Stensland method domokane#9"
cb622b9
@shunmaruko shunmaruko mentioned this issue Feb 26, 2023
Merged
domokane added a commit that referenced this issue Feb 26, 2023
@domokane
Merge pull request #164 from shunmaruko/add-bjerksund-stensland-forumla
d235bcb 
Changed figures of notebook #9
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@domokane @rkcah @shunmaruko