A simple and efficient numerical method for pricing discretely monitored early-exercise options
作者：
Highlights：
• Many popular exotic options are path-dependent and have early-exercise features.
• Most path-dependent exotic options are discretely monitored and need to be priced using numerical techniques.
• Traditional pricing methods such as Monte-Carlo simulations or finite difference methods are easy to implement but are often too slow.
• More advanced pricing methods tend to be more efficient but are often too difficult to understand and to properly implement.
• Our new quadrature-based method is very efficient while at the same time is very easy to understand and implement.
摘要
•Many popular exotic options are path-dependent and have early-exercise features.•Most path-dependent exotic options are discretely monitored and need to be priced using numerical techniques.•Traditional pricing methods such as Monte-Carlo simulations or finite difference methods are easy to implement but are often too slow.•More advanced pricing methods tend to be more efficient but are often too difficult to understand and to properly implement.•Our new quadrature-based method is very efficient while at the same time is very easy to understand and implement.
论文关键词：Discrete option pricing,Quadrature method,Autocallable structured product,Single and double barrier option,Bermudan option
论文评审过程：Received 16 September 2021, Revised 11 January 2022, Accepted 24 January 2022, Available online 6 February 2022, Version of Record 6 February 2022.
论文官网地址：https://doi.org/10.1016/j.amc.2022.126985
