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

Table 4

Data description of OEX and IBM puts.

		Mean	Standard deviation	Minimum	Maximum
OEX	Market price	55.72	58.46	0.05	412.00
	Days to maturity	69.25	58.68	16	360
	Moneyness	1.08	0.31	0.41	2.23
	Number of puts	208,130
IBM	Market price	16.82	21.25	0.05	104.33
	Days to maturity	119.33	70.67	16	357
	Moneyness	1.01	0.29	0.44	2.13
	Number of puts	72,421

Note. In this table, market price refers to the closing price of the underlying, that is, the OEX index price for OEX puts and IBM stock price for IBM puts, and each option price is considered as the midvalue of bid-ask quotations. Moneyness is defined as strike price divided by underlying price.