I’ve been taking an online course in mathematical finance although it’s mostly analytic, so not much in the way of numerics and all of the options are European / fixed term.

Thanks for the article! It will be interesting to see how early exercise affects the PDE solutions.

Stochastic calculus is a few levels above undergrad physics, but it has motivated me to understand measure theory when before I couldn’t make head nor tail of it. Having a concrete end is a fantastic motivator :)