Finding 6576Emerging EvidenceValidation V0
Authors propose a modified LSMC algorithm for pricing options with independent or asset-dependent caps, proving convergence as discretization shrinks and simulation count increases, with $$\text{geometric Lvy process}$$ yielding higher prices.
82%Confidence
1Evidence objects
v1Version
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Evidence trail
Supporting82% linkage confidence
Authors propose a modified LSMC algorithm for pricing options with independent or asset-dependent caps, proving convergence as discretization shrinks and simulation count increases, with $$\text{geometric Lvy process}$$ yielding higher prices.
key_findings bullet 2 · key_findings
Inspect source: Pricing time-capped American options using Least Squares Monte Carlo method →This Finding was extracted from the configured corpus. It is versioned, traceable, and may evolve through editorial review or new corpus evidence.