Fast quadrature methods for options with discrete dividends

作者：

Highlights：

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• A fast method for pricing options with discrete dividend payments is developed.

• The method can price options with different exercise and barrier features.

• The method can efficiently handle more discrete dividends than existing methods.

• A wide set of numerical results is given to illustrate the merits of the method.

摘要

•A fast method for pricing options with discrete dividend payments is developed.•The method can price options with different exercise and barrier features.•The method can efficiently handle more discrete dividends than existing methods.•A wide set of numerical results is given to illustrate the merits of the method.

论文关键词：Discrete dividends,Fejér quadrature,Option pricing

论文评审过程：Received 11 April 2017, Revised 6 July 2017, Available online 18 August 2017, Version of Record 6 September 2017.

论文官网地址：https://doi.org/10.1016/j.cam.2017.08.006