Replicating 2c-c & 2p-p from Bjerksund Stensland (2002)

External question — Quantitative Finance Stack Exchange Author: Coco Garazzo Original post: https://quant.stackexchange.com/questions/83532 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I'm trying to replicate the value of $2\overline{\bar{c}}-\bar{c}$ and $2\overline{\bar{p}}-\bar{p}$ from the paper "CLOSED FORM VALUATION OF AMERICAN OPTIONS" by PETTER BJERKSUND and GUNNAR STENSLAND. link I have tried to use everything I have found on the internet from code to excel to reach the same values but I haven't found any way to do it. I have only been able to replicate the values of 2p-p when the cost of carry (b < r - q) is negative and the values of 2c-c when the cost of carry is positive. For the first case I was able to do it by making a proxy that consists of using the put value calculated by the Ju&Zhong method and for the other case using 2*JuZhongCallPrice-BjerksundStenslandCallPrice I have noticed that the value of Bjerksund Stensland I calculated is not equal to 2c-c and 2p-p

External answer — Quantitative Finance Stack Exchange Author: QuantCalc.net Original post: https://quant.stackexchange.com/a/85279 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Check the bivariate normal distribution implications. I had some issue when implementing it and the minor error in bivariate normal distribution can cause big difference in the final price and 2p-p