, values of the consumption process, and stopping times on the sample paths. The approach admits constructing both low and … upper bounds for the price by Monte Carlo simulations. The methods are illustrated by pricing Bermudan swaptions and …

, values of the consumption process, and stopping times on the sample paths. The approach admits constructing both low and … upper bounds for the price by Monte Carlo simulations. The methods are illustrated by pricing Bermudan swaptions and … snowballs in the Libor market model. Keywords: American and Bermudan options, Low and Upper bounds, Monte Carlo sim- ulations …