May 25th, 2003, 10:51 am
On Interest Rate Bermudan Swaptions, have a look at the following, which represents kind of "most popular" approcah to price bermudan:1) Andersen, L. (1998), “A Simple Approach to Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model,” Working Paper, General Re Financial Products.2) Pedersen, M. (1999), “Bermudan Swaptions in the Libor Market Model,”Working Paper, SimCorp A/S.3) Longstaff, F., and E. Schwartz,"Valuing American Options By Simulation: A Simple Least-Squares Approach,"On textbooks, u can have a look at Brigo-Mercurio, which gives you hints on the implementation of 1) and 3) and presents the bermudan swaption pricing technique within short rate models...Hope it helps,S.