I recently stumbled upon a paper titled "Markov Chain Monte Carlo Analysis of Option Pricing Models" thanks to another post on this site (see: link).
I have the ultimate goal of implementing a MCMC algorithm for pricing FX options and in the process of doing so would like to write a brief and "simple" paper/set of notes on how to do so (which also covers the preliminary mathematics). The aforementioned paper has been incredibly insightful yet it doesn't cover much on the implementation side of the matter.
I found that this chapter of a book is perfect for all the preliminary mathematics: MCMC Handbook: Chapter 1
So I have two questions:
Can anyone point me in the direction of relevant literature about MCMC in the context of FX options or something a bit more general regarding MCMC w.r.t. options? And,
If such literature about MCMC for FX options doesn't exist, do you think such a paper would be of any value other than that of a learning exercise for myself?