Does anyone know any kind of method that produces reasonably well results for American Options under Heston Model setting that could be used as benchmark value? Since right now my goal is to investigate the biasedness of the Least-Square Monte Carlo(LSM) More details on LSMunder different conditions, I want some methods known to produce better results than LSM. I presume the binomial model under stochastic volatility might be a good choice but maybe a bit hard to implement and time-consuming. So just wondering if anyone knows something better than sv binomial model that could serve as a benchmark? Thanks!
Well, I guess the OP is done with this by now, but the answer is finite difference methods. Not that easy to implement for Heston, but not terribly difficult either. Those are so efficient that they can give 7-8 digits of accuracy easily (a lot more than you'd need to validate LSM, which could give you maybe 3 correct digits if you're lucky). If anyone needs some benchmarks I can provide them.