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- W2619605428 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" @default.
- W2619605428 created "2017-06-05" @default.
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- W2619605428 date "2008-01-01" @default.
- W2619605428 modified "2023-09-25" @default.
- W2619605428 title "Exact simulation of prices and greeks: application to CIR" @default.
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