Dryad: Binomial Tree in F#
The Code Project has some C# code which provides a basic American option pricing. hubFS has a more interesting code fragment in F#. Computational Finance Using C and C# looks like it might be worth ordering as well for my quest to push Dryad to the extreme.
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It’s a good book.
Here’s an Excel spreadsheet to calculate the value of an American Option using a Binomial method. You can aslo view the pricing lattice: http://investexcel.net/1095/binomial-tree-american-option/