We proposed a two-step Longstaff Schwartz Monte Carlo (LSMC) method with two regression models
fitted at each time step to price game options. Although the original LSMC can be used to price game
options with an enlarged range of path in regression and a modified cashflow updating rule, we identified
a drawback of such approach, which motivated us to propose our approach. We implemented numerical
examples with benchmarks using binomial tree and numerical PDE, and it showed that our method
produces more reliable results comparing to the original LSMC.
