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scientific article; zbMATH DE number 1069624
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scientific article; zbMATH DE number 1069624

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    author
    Eric Fournié
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    Jean-Michel Lasry
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    Nizar Touzi
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    publication date
    12 October 1998
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    zbMATH DE Number
    1069624
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    zbMATH Keywords
    Monte Carlo methods
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    valuation of contingent claims
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    stochastic volatility models
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    Black-Scholes model
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    importance sampling variance reduction
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