Reference Paper: Andersen, Leif B.G. and Lake, Mark and Offengenden, Dimitri. \textit{High Performance American Option Pricing} (July 1, 2015). Available at SSRN: https://ssrn.com/abstract=2547027.
This repository implements Spectral Collocation Method for pricing American options and runs numerical tests to analyse the results in terms of accuracy, numerical stability and convergence speed for the difference choices of model parameters