Research Article
New Methods with Capped Options for Pricing American Options
Table 7
Numerical result for Example
5.
| | Reduced path | | 90 | 100 | 110 | 120 | | Standard LSM | 0 | 0 | 0 | 0 | 0 | | 0.1 | 4.4 | 30.7 | 148.4 | 442.1 | | 27.4 | 237.5 | 1078.7 | 1995.6 | 2267.9 | | 27.4 | 237.5 | 1079 | 2002.8 | 2318.8 | | 27.4 | 237.5 | 1079 | 2002.8 | 2318.8 |
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