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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
https://hal.inria.fr/inria-00319139
Contributor : Etienne Tanré Connect 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
Contributor : Etienne Tanré Connect 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
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reutenauer_tanre.pdf
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