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Add Bjerksund Stensland forumla #160

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shunmaruko
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@shunmaruko shunmaruko commented Feb 22, 2023

Dear @domokane,
As we discussed in issue #9, I added Bjerksund and Stensland analytical approximation formula. Along README.md,
The followings are at least checked.

  • Added code are Pep8 compliant.
  • Comments are attached to every function.
  • An unit test is added for new function, which is validated by the data available from literature.

Since it is first time for me to contribute to OSS, please let me know if I need to do something else:).
Thank you in advance for your time and consideration.

Best Regards,
shunmaruko

@domokane
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Hi @shunmaruko
This is very good. I am merging it. I think it would be helpful if you created a Jupyter notebook that compares these different American option valuation approaches.
Best
D

@shunmaruko
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shunmaruko commented Feb 22, 2023

HI @domokane,
Thank you for merging and your suggestion. I would love to take on it!
Before staring, i want to confirm:
・What kind of blueprint do you have? Same as Barone-Adesi-Whaley's case?
"EQUITY_AMERICANOPTION_BARONE_ADESI_WHALEY_APPROX.ipynb"
・If so, should I direcly edit the above file or create another notebook?

Best Regards,
shunmaruko

@domokane
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Yes. Please start with that one as a template, make a copy with and add your new Bjerksund-Stensland method to it so we can compare all of the methods in one place. Thanks!

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2 participants