Research Article
New Methods with Capped Options for Pricing American Options
Table 6
Numerical result for Example
5.
| Res | | 90 | 100 | 110 | 120 | Standard LSM | 0.0010 | 0.0029 | 0.0094 | 0.0263 | 0.0027 | | 0.0010 | 0.0028 | 0.0089 | 0.0261 | 0.0028 | | 0.0010 | 0.0031 | 0.0101 | 0.0269 | 0.0508 | | 0.0010 | 0.0032 | 0.0105 | 0.0313 | 0.0772 | | 0.0010 | 0.0032 | 0.0105 | 0.0313 | 0.0772 |
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