Hi, Can somebody recommend literature on Monte Carlo pricing (using exercise boundary) of Bermudian options?Thanks, Michael

See Longstaff and Schwartz

glasserman's book

hi guys,does anybody has a spreadsheet excel for pricing a vanilla option using monte carlo with the VBA codethanks for your help,

QuoteOriginally posted by: pyatski... of Bermudian options?Bermudian Options! This is the first time I've heard of it. What kind of exotic options are they? rhmari, I have a excel spreadsheet with VBA for vanilla options, but with B-S-M! Are you interested?

"Bermudan" means you can exercise at a finite number of dates between now and expiry (name comes from fact that Bermuda is island between America and Europe). And I second mj's recommendation about Glasserman's book. It's not just good for MC methods, either; it's got a great, concise presentation of the basics of asset pricing theory and term structure theory as well.Also, if you're going to run MC in VBA, they don't have a bit shift operator, so don't bother with any of the feeback shift register RNGs (like Mersenne Twistor). In fact, I would say that the only reason to code MC in VBA is to aid your understanding. Any applications would be better done in C or C++.