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Applications of Malliavin calculus to Monte Carlo methods in finance

Eric Fournié, Jean-Michel Lasry, Jérôme Lebuchoux, Pierre-Louis Lions, Nizar Touzi. Applications of Malliavin calculus to Monte Carlo methods in finance. Finance and Stochastics, 3(4):391-412, 1999. [doi]

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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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Nizar Touzi

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