American Options


This page demonstrates pricing of American Options by solving corresponding partial differencial equations using finite difference method.

 

Call/Put    
Spot \( S = \)
Maturity (years) \( T = \)
Strike \( K = \)
Interest rate \( r = \)
Volatility \( \sigma = \)
Dividend \( \gamma = \)
Mesh size in asset S  
Number of time steps  

Important! This model is for online demonstration purposes only. Calculations can take a long time if the number of time steps and mesh size are high. The time-out for calculations has been set to 1 hour, after which the webpage will return an error. We suggest you start with low values and then increase them if better accuracy is needed.