On the enhanced convergence of standard lattice methods for option pricing
提出一种通用方法，利用标准格子方法（如CRR、三叉树、有限差分）产生单调收敛的数值结果，通过引入归一化距离Λ大幅提高精度并减少计算时间。
For derivative securities that must be valued by numerical techniques, the trade-off between accuracy and computation time can be a severe limitation. For standard lattice methods, improvements are achievable by modifying the underlying structure of these lattices; however, convergence usually remains non-monotonic. In an alternative approach of general application, it is shown how to use standard methods, such as Cox, Ross, and Rubinstein (CRR), trinomial trees, or finite differences, to produce uniformly converging numerical results suitable for straightforward extrapolation. The concept of Λ, a normalized distance between the strike price and the node above, is introduced, which has wide ranging significance. Accuracy is improved enormously with computation times reduced, often by orders of magnitude. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:315–338, 2002