New Methods with Capped Options for Pricing American Options

Table 8

Numerical result for Example 5.

Var(𝑖,𝑗)	𝑆0=80	90	100	110	120
Standard LSM	0.0120	0.0120	0.0563	0.0565	0.0265
[𝑎,𝑏]=[0,1.125]	0.0119	0.0353	0.0551	0.0573	0.0265
[𝑎,𝑏]=[0.25,1.125]	0.0123	0.0428	0.0793	0.1183	0.1341
[𝑎,𝑏]=[0.5,1.125]	0.0123	0.0428	0.0791	0.1209	0.1488
[𝑎,𝑏]=[0.75,1.125]	0.0123	0.0428	0.0791	0.1209	0.1488