Research Article
New Methods with Capped Options for Pricing American Options
Table 8
Numerical result for Example
5.
| Var | | 90 | 100 | 110 | 120 | Standard LSM | 0.0120 | 0.0120 | 0.0563 | 0.0565 | 0.0265 | | 0.0119 | 0.0353 | 0.0551 | 0.0573 | 0.0265 | | 0.0123 | 0.0428 | 0.0793 | 0.1183 | 0.1341 | | 0.0123 | 0.0428 | 0.0791 | 0.1209 | 0.1488 | | 0.0123 | 0.0428 | 0.0791 | 0.1209 | 0.1488 |
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