Pricing American options is tough.

Term structure?

Pricing engine?

Dividends?

Lucky for us we have QuantLib.

Here's how to use it:

Why are American options hard to value?

Because American options can be exercised at any time before or on the expiration date.

Let's see how we can do it with QuantLib:

Get the live market data to figure out which strikes and expirations to price.

Once we have the live market data, let's set the variables.

In our example, we'll use the CRR model to generate the options pricing engine.

We define the American style options exercise and use it to initialize a vanilla option with a plain vanilla payoff.

This setup creates the call option.

We then set the pricing engine we created above and get the theta.

I recently published a step-by-step guide to value an American option with QuantLib:

• Set up the market environment for valuation

• Build the options valuation engine

• Value the option and compute theta

You can read it here: