Roughly speaking, using a standard programming language, a standard computer, and a standard implementation, how many seconds would it take to price an American put option to 10+ digits of accuracy in Black Scholes model?
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1$\begingroup$ I don’t think anyone has needs so many digits. Without looking, I believe it would depend on the option being priced. $\endgroup$– Bob Jansen ♦Commented Feb 26, 2020 at 21:40
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I've already built an LS american options pricer using C++ and I can tell that you will never have a precision of 10+ digits. It's due to the non-perfect randomness of uniform samples generated by the machine.
answered Feb 26, 2020 at 21:41