Table 3: Numerical results for Example 2.

Option prices with lattice Option prices and intervals with LSM

520.0281874562981550.029606167588959
4 0.029090524706680
6 0.029930565933099
10 0.030190542190626
20 0.029391074539888
40 0.029489977773055

1020.1970702106622580.193857807991106
4 0.195700639175277
6 0.196465071653130
10 0.192329465764766
20 0.193696054251151
400.194423204241922

3021.1825608199015101.205198709585444
4 1.197816540629624
6 1.200350772727828
10 1.202714267674711
20 1.203407511987706
40 1.203545193979154