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Monte Carlo for Bermudian Options
Posted: July 20th, 2005, 5:38 pm
by pyatski
Hi, Can somebody recommend literature on Monte Carlo pricing (using exercise boundary) of Bermudian options?Thanks, Michael
Monte Carlo for Bermudian Options
Posted: July 20th, 2005, 7:02 pm
by exotiq
See Longstaff and Schwartz
Monte Carlo for Bermudian Options
Posted: July 25th, 2005, 5:21 pm
by mj
glasserman's book
Monte Carlo for Bermudian Options
Posted: September 2nd, 2005, 11:28 am
by rhmari
hi guys,does anybody has a spreadsheet excel for pricing a vanilla option using monte carlo with the VBA codethanks for your help,
Monte Carlo for Bermudian Options
Posted: September 12th, 2005, 3:29 pm
by Heitor
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?
Monte Carlo for Bermudian Options
Posted: September 12th, 2005, 3:42 pm
by hammerbacher
"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++.