Canonical Least-Squares Monte Carlo Valuation of American Options: Convergence and Empirical Pricing Analysis

Table 1

Two sets of parameter values in the numerical tests.

	Initial price	Strike price	Maturity date	Interest rate	Volatility
	𝑆0	𝐾	𝑇	𝑟	𝜎
First	89	90	0.5	1.3%	28%
Second	401	400	1.0	0.4%	38%

Note. This table gives two sets of parameter values for corresponding American put options. Both underlying assets are assumed to pay no dividends and the trading date 𝑡₀ is set to be time 0 so that the time to maturity is 𝑇.