Thanks again Alan. I think that the anomaly that I'm seeing (increasing expected lifetime with an increase in the dividend yield after a certain point) is related to the vesting period , before which the American option can be exercised. This period is typical of employee share option (ESO) plans. H...

Thanks for taking the time to reply, Alan. Replacing  expected_term[i][j] = 0.0 with  expected_term[i][j] = (i+1)*dt and resetting the expected term each time the following boundary is hit ((instrinsic_value[i][j] > PV_option_one_period) || (share_price_matrix[i][j] >= strike_price * multiple)) in t...

Hi everyone,   My exposure to options is largely limited to work done in valuing employee share option plans, which is via a binomial model or Monte Carlo simulation (and so apologies in advance for my limited starting point!). The two outputs are the option value and the expected lifetime. Happy wi...