  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.
