This paper describes a practical algorithm based on Monte Carlo simulation for the pricing of multidimensional American (i.e., continuously exercisable) and Bermudan (i.e., discretely exercisable) ...

The Monte Carlo simulation estimates the probability of different outcomes in a process that cannot easily be predicted because of the potential for random variables.

The authors have previously proposed a method to manage the computational cost in standard Monte Carlo simulation that views design as a choice among alternatives with uncertain reliabilities.

APPM 4560/5560 Markov Processes, Queues, and Monte Carlo Simulations Brief review of conditional probability and expectation followed by a study of Markov chains, both discrete and continuous time.