iAmerican · exact boundary
Cox-Ross-Rubinstein lattice
Backward induction over a recombining binomial tree with early exercise at every node; yields the exercise boundary.
iiRegression · independent
Longstaff-Schwartz Monte Carlo
Least-squares regression of continuation value across thousands of paths — a different algorithm that cross-checks the lattice.
iiiEuropean limit · oracle
Black-Scholes closed form
The analytic European value — a floor (American ≥ European) and the convergence limit the lattice is verified against.
1
Choose a decision
You could sign a lease and build out a second location today, or wait up to 2 years while demand becomes clearer. Waiting costs you — rent inflation, a competitor could move first — but it also means you invest only once the picture is clearer.
2
Set the inputs
Drag a file in, or estimate volatility from a 'revenue' / 'amount' column.