Toward Option Values of Near Machine Precision using Gaussian Quadrature

Toward option values of near machine precision using Gaussian Quadrature. In this paper, we combine the best features of two highly successful Quadrature option pricing papers. Adopting the recombining abscissa or node approach used in Andricopoulos, Widdicks, Duck, and Newton (2003) (AWDN) with the Gauss Legendre method of Sullivan (2000) yields highly accurate and efficient option prices for a range of standard and exotic specifications including barrier, compound reset and spread options both with and without early exercise features.