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Exact simulation of prices and greeks: application to CIR

Victor Reutenauer 1 Etienne Tanré 2
1 FIM - Service Interest Rates and Hybrid Quantitative Research
2 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
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
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https://hal.inria.fr/inria-00319139
Contributor : Etienne Tanré <>
Submitted on : Wednesday, December 17, 2008 - 4:23:48 PM
Last modification on : Thursday, February 11, 2021 - 2:48:32 PM
Long-term archiving on: : Monday, October 22, 2012 - 12:21:39 PM

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  • HAL Id : inria-00319139, version 2

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Victor Reutenauer, Etienne Tanré. Exact simulation of prices and greeks: application to CIR. 2008. ⟨inria-00319139v2⟩

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