American Options
This page demonstrates pricing of American Options by solving corresponding partial differencial equations using finite difference method.
| Call/Put |
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| Spot |
\( S = \) |
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Please enter a value in range [0.01, 99999]
The input cannot be empty
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| Maturity (years) |
\( T = \) |
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Please enter a value in range [0.001, 150]
The input cannot be empty
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| Strike |
\( K = \) |
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Please enter a value in range [0.01, 99999]
The input cannot be empty
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| Interest rate |
\( r = \) |
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Please enter a value in range [0.0, 1.0]
The input cannot be empty
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| Volatility |
\( \sigma = \) |
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Please enter a value in range [0.0, 1.0]
The input cannot be empty
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| Dividend |
\( \gamma = \) |
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Please enter a value in range [0.0, 1.0]
The input cannot be empty
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| Mesh size in asset S |
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Please enter an integer in range [10, 5,000]
The input cannot be empty
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| Number of time steps |
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Please enter an integer in range [10, 20,000]
The input cannot be empty
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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.