Belfort's house was on the Gold Coast of Long Island, NY, USA.
Look online for lists of the most expensive house or real estate in the USA or in the world.
If you look at different lists from different times you will that sometimes they list properties which were not in the Gold Coast of Long Island, or even not in New York State - or even not in the USA in the case of lists of the most expensive real estate in the world.
I have often noticed that the Gold Coast of Long Island, New York State, USA did not - repeat not - have the most expensive house in the USA, let alone the whole world.
I don't think that Belfort was claiming that the most expensive house in the world was the one he bought. Or even a nearby house elsewhere in the Gold Cost. I think that Belfort was bragging that he bought a house in the Gold Coast, a small region (but still tens of square miles I guess) where houses were (or so he claimed) the most expensive in the world per square foot and estates were the most expensive in the world per acre.