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.

  • 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


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