Truncation and acceleration of the Tian tree for the pricing of American put options
提出一种基于容差控制截断误差的二叉树截断新方法，结合平滑和Richardson外推加速技术，应用于美式看跌期权定价，数值结果显示新方法比已有方法快50%。
We present a new method for truncating binomial trees based on using a tolerance to control truncation errors and apply it to the Tian tree together with acceleration techniques of smoothing and Richardson extrapolation. For both the current (based on standard deviations) and the new (based on tolerance) truncation methods, we test different truncation criteria, levels and replacement values to obtain the best combination for each required level of accuracy. We also provide numerical results demonstrating that the new method can be 50% faster than previously presented methods when pricing American put options in the Black–Scholes model.