Valuation of American Options with Early Exercise

This project develops basic algorithms for valuing options where early exercise is permitted (as in American markets), under the assumptions of geometric Brownian motion. It calculates approximate values for both calls and puts, and also estimates the value of the early exercise itself, by comparing to the price of the analogous European option. In the case of puts, it determines whether the a higher expected value will be obtained by exercising immediately or by waiting one day.