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
Contributeur : Etienne Tanré
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Soumis le : mercredi 17 décembre 2008 - 16:23:48
Dernière modification le : samedi 27 janvier 2018 - 01:31:25
Document(s) archivé(s) le : lundi 22 octobre 2012 - 12:21:39
