Hi guys, I want to price an american option where the underlying stock has multiple discrete dividend payouts. Which numerical methods are commonly used in the industry? It doesn't need to be super accurate but it can't be slow. Thanks.
I'd recommend the Vellekoop-Nieuwenhuis (VN) tree: (link), and also the discussion in
Ch. 9 ('Back to Basics: An Update on the Discrete Dividend Problem') in my book
In the Appendix to that chapter, I give C-code for the VN tree (posted here)