  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.
