Applications of Malliavin calculus to Monte-Carlo methods in finance. II

Eric Fournié, Jean-Michel Lasry, Jérôme Lebuchoux, Pierre-Louis Lions. Applications of Malliavin calculus to Monte-Carlo methods in finance. II. Finance and Stochastics, 5(2):201-236, 2001. [doi]

Authors

Eric Fournié

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Jean-Michel Lasry

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Jérôme Lebuchoux

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Pierre-Louis Lions

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