Exact simulation of prices and greeks: application to CIR
Abstract
We generalize the exact simulation algorithm of one dimensional solution of SDE proposed by Beskos et al. . We apply Malliavin Calculus to simulate exactly the greeks, that is the derivatives with respect to the initial condition. We detail the method for the CIR process and give numerical results
Domains
Probability [math.PR]
Origin : Files produced by the author(s)