Pricers: American options.

[avhz]

[Uzaaft]

What model would be acceptable for pricing american options?

[avhz]

These notes (and most of his others too) are very good: https://personal.ntu.edu.sg/nprivault/MA5182/american-options.pdf

There are also 2-3 closed-form approximations for finite expiry American options given in Haug's Option Pricing Formulas book. He also presents a closed form solution for perpetual expiry American options.

[rudyroggio]

I found this project a little late, so I may not get around to implementing it; however, the best bet -- generally used in practice -- would be to use something like Andersen-Lake for American options. It's a bit of a pain as it's intractable and requires numerical solving, but I'll try to push as soon as I can get it up and running.

[avhz]

Would love to see their implementation!