New Methods with Capped Options for Pricing American Options

Table 5

Numerical result for Example 5.

𝑉(𝑖,𝑗)	𝑆0=80	90	100	110	120
Standard LSM	0.2027	1.3485	4.6388	11.0304	19.9684
[𝑎,𝑏]=[0,1.125]	0.2030	1.3551	4.6219	11.0805	19.9684
[𝑎,𝑏]=[0.25,1.125]	0.1795	1.3843	4.4811	10.7401	19.0541
[𝑎,𝑏]=[0.5,1.125]	0.1795	1.3843	4.4683	10.6162	18.2787
[𝑎,𝑏]=[0.75,1.125]	0.1795	1.3843	4.4683	10.6162	18.2787