Not really an R question, but we get this sort of query a lot here...
Hull's book is great for figuring out payoff functions. Wilmott's 3rd
volume actually gives some of the VBA code that will allow you to value
options using an MCS approach. Glasserman's book is very good but it's
also a bit technical. My personal preference is actually Haug's book,
which contains both the theory and the code (in VBA), which can be
adapted to R.

On Tue, 2010-06-01 at 00:55 -0700, Ron Michael wrote:

> Hi all, I am looking for some good textbook for Financial instrument valuation using Monte carlo simulation approach, e.g. Simulation approach for derivative pricing particularly Options valuation with Asian type of pay-off, Calculation of greeks under same simulation framework for Asian, American ir Bermudian type option etc.
> 
> Can friends here suggest me some really good book over that? Online materials are also be ok.
> 
> Your help will be highly appreciated.
> 
> Thanks,
> 
> 
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