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
https://hal.inria.fr/inria-00319139 Contributor : Etienne TanréConnect in order to contact the contributor Submitted on : Wednesday, December 17, 2008 - 4:23:48 PM Last modification on : Friday, February 4, 2022 - 3:12:09 AM Long-term archiving on: : Monday, October 22, 2012 - 12:21:39 PM