0
$\begingroup$

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.

$\endgroup$
3
  • 2
    $\begingroup$ 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 $\endgroup$ Commented Mar 22, 2020 at 8:29
  • $\begingroup$ What are you going to use all this accuracy for? How are you going to accurately measure volatility? $\endgroup$
    – Bob Jansen
    Commented Mar 22, 2020 at 13:20
  • $\begingroup$ @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 $\endgroup$ Commented Mar 22, 2020 at 15:46

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.