American options
2 stories tagged American options on Learning Fanatic.
Lesson 8.2: Finite differences and PDE methods
Learn to price options by solving the Black-Scholes PDE on a grid: explicit, implicit and Crank-Nicolson schemes, stability, American options and Greeks.
Lesson 7.4: Discrete models: binomial trees and the continuous limit
Learn the binomial tree: backward induction, convergence to Black-Scholes, American options and early exercise, and how the tree solves the pricing equation.