Determine American option prices and sensitivities using BjerksundStensland 2002 option pricing model
PriceSens = optstocksensbybjs(RateSpec,
StockSpec, Settle,
Maturity, OptSpec, Strike, 'Name1',
Value1...)
 The annualized continuously compounded rate term structure.
For information on the interest rate specification, see 
 Stock specification. See 








 (Optional) All optional inputs are specified as matching parameter name/value pairs. The parameter name is specified as a character string, followed by the corresponding parameter value. Parameter name/value pairs may be specified in any order; names are caseinsensitive and partial string matches are allowed provided no ambiguities exist. Valid parameter names are:

PriceSens = optstocksensbybjs(RateSpec,
StockSpec, Settle,
computes American option prices and sensitivities
using the BjerksundStensland 2002 option pricing model.
Maturity, OptSpec, Strike, 'Name1',
Value1...)
optstocksensbybjs
can be used to compute
six sensitivities for the BjerksundStensland 2002 model: delta
, gamma
, vega
, lambda
, rho
,
and theta
. This function is also capable of returning
the price of the option. The selection of output parameters and their
order is determined by the optional input parameter OutSpec
.
This parameter is a cell array of strings, each one specifying a desired
output parameter. The order in which these output parameters are returned
by the function is the same as the order of the strings contained
in OutSpec
.
PriceSens
is a NINST
by1
vector
of expected prices or sensitivities values.
Note:

Bjerksund, P. and G. Stensland, ClosedForm Approximation of American Options, Scandinavian Journal of Management, 1993, Vol. 9, Suppl., pp. S88S99.
Bjerksund, P. and G. Stensland, Closed Form Valuation of American Options, Discussion paper 2002 (http://brage.bibsys.no/nhh/bitstream/URN:NBN:nobibsys_brage_22301/1/bjerksund%20petter%200902.pdf)