We introduce a set of lattice techniques to the Leisen‐Reimer and Tian binomial models with a view to accelerating computation time and improving accuracy of American Option valuation. A level of accuracy and efficiency combined can be achieved that surpass commonly used analytical analogues. We compare these efficient lattice models with analytical formulae for pricing different groups of options according to the deepness of American quality and moneyness. Our results reveal that counter to received wisdom, lattices constructs produce greater speed and accuracy for all option categories relative to the best performing closed form American analogues.

中文翻译：

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美式期权定价：最优的格子模型和多维效率测试

我们为Leisen-Reimer和Tian二项式模型引入了一组格子技术，以期加快计算时间并提高American Option估值的准确性。可以达到超过常用分析类似物的准确度和效率水平。我们将这些有效的点阵模型与分析公式进行比较，以根据美国质量和货币的深度对不同的期权组进行定价。我们的结果表明，与公认的观点相反，相对于表现最佳的闭式美国同类产品，晶格构造可为所有期权类别带来更高的速度和准确性。