In this paper the authors investigate the performance of the original and repeated Richardson extrapolation methods for American option pricing by implementing both the original and modified Geske–Johnson approximation formulae. A comprehensive numerical comparison includes alternative...

In this paper we propose a Gaussian quadrature method to study American and exotic option pricing under the jump-diffusion model of Merton (1976). Our numerical experiments show that the Gaussian quadrature method, compared to several existing methods in the literature, including the fast Gauss...