An Analysis of Asymptotic Properties and Error Control under the Exponential Jump-Diffusion Model for American Option Pricing

Figure 3

Numerical convergence of Monte Carlo simulation in the least square algorithm under the B&S asset price model. Confidence level in order of 95% (the estimated value of the American option in blue, upper bound in red, and lower bound in green).

(a) from 100 to 1000 by 10 steps

(b) from 100 to 5000 by 10 steps

(c) from 100 to 10000 by 10 steps