# American put option reference price that is accurate to at least 6 digits?

I need an accurate reference price of an American put option under GBM dynamics ($$r > 0$$).

I can use many numerical methods, but it would take too long to get any more than 3 or 4 digits of accuracy.

I need a reference price that is more accurate, preferably exact, but 6 - 8 digits of accuracy would do. Is there such a known reference price in the literature? The model parameters don't matter, I just need one particular specification so I can test my own methods on it.

• If you are implementing American option pricing, I assume you are working with some of the classic papers on the subject and these all typically have reference prices stated? Not being obtuse, just think is a quicker way to get what you need – James Spencer-Lavan Mar 22 '20 at 8:29
• What are you going to use all this accuracy for? How are you going to accurately measure volatility? – Bob Jansen Mar 22 '20 at 13:20
• @bob my guess is the precision is required to test a numerical implementation, rather than a trading consideration. Again, I find it curious that someone would be implementing a (new?) method for American options without having existing literature handy – James Spencer-Lavan Mar 22 '20 at 15:46