英文标题：
《A simple and efficient numerical method for pricing discretely monitored
early-exercise options》
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作者：
Min Huang, Guo Luo
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最新提交年份：
2019
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英文摘要：
We present a simple, fast, and accurate method for pricing a variety of discretely monitored options in the Black-Scholes framework, including autocallable structured products, single and double barrier options, and Bermudan options. The method is based on a quadrature technique, and it employs only elementary calculations and a fixed one-dimensional uniform grid. The convergence rate is $O(1/N^4)$ and the complexity is $O(MN\\log N)$, where $N$ is the number of grid points and $M$ is the number of observation dates.
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中文摘要：
我们提出了一种简单、快速、准确的方法，用于在Black-Scholes框架下对各种离散监控期权进行定价，包括自动赎回结构性产品、单障碍和双障碍期权以及百慕大期权。该方法基于求积技术，仅使用基本计算和固定的一维均匀网格。收敛速度为$O（1/N^4）$，复杂性为$O（MN\\log N）$，其中$N$是网格点的数量，$M$是观测日期的数量。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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