Get Exact simulation of prices and greeks: application to CIR - hal inria

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Exact simulation of prices and greeks: application to CIR Victor Reutenauer1 and Etienne Tanr 2 1 Calyon, FIM, Interest Rates and Hybrid Quantitative Research, 9 quai du Pr sident Paul Doumer 92920 Paris-La D fense cedex France 2 INRIA, EPI Tosca, 2004 route des Lucioles BP93 F-06902 Sophia-Antipolis - France September 5, 2008 inria-00319139, version 1 - 5 Sep 2008 Acknowledgment: The authors would like to thank...
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