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We present a simple, fast, and accurate method for pricing a variety ofdiscretely monitored options in the Black-Scholes framework, includingautocallable structured products, single and double barrier options, andBermudan options. The method is based on a quadrature technique, and it employsonly elementary calculations and a fixed one-dimensional uniform grid. Theconvergence 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.

A simple and efficient numerical method for pricing discretely monitored early-exercise options