Financial Quantitative Algorithms
The American options constitute a non closed problem. In this application I want to show that is not true that is never optimal to exercise early american call options.
This conclusion is valid when the trees method is used. Try to run this Monte Carlo based program, you can configure the early evaluation method as backwards in time (coinciding with the tree method), forward and optimal.
Java Applets - Monte Carlo Pricer of American Calls and Puts
|Monte Carlo method||American(A) Call and Put||MC American Pricer|