New Methods with Capped Options for Pricing American Options

Table 9

Numerical result for Example 5.

Avt(𝑖,𝑗)	𝑆0=80	90	100	110	120
Standard LSM	0.0011	0.0008	0.0017	0.0045	0.0072
[𝑎,𝑏]=[0,1.125]	0.0003	0.0006	0.0019	0.0045	0.0064
[𝑎,𝑏]=[0.25,1.125]	0.0005	0.0006	0.0006	0.0008	0.0013
[𝑎,𝑏]=[0.5,1.125]	0.0003	0.0002	0.0003	0.0006	0.0005
[𝑎,𝑏]=[0.75,1.125]	0.0003	0.0002	0.0006	0.0003	0.0003