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Couverture approchée des options européennes
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Couverture approchée des options européennes (1999)Couverture approchée des options européen…On an approximation problem for stochastic integrals where random time nets do not help (2005)On an approximation problem f…Analysis of Error with Malliavin Calculus: Application to Hedging (2003)Analysis of Error with Mallia…Frequent Hedging under Transaction Costs and a Nonlinear Fokker--Planck PDE (2001)Frequent Hedging under Transa…The Pricing of Options and Corporate Liabilities (1973)Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochastic Calculus. (1989)Discrete time hedging errors for options with irregular payoffs (2001)On the Microstructural Hedging Error (2010)TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS (2011)Stochastic Differential Equations and Diffusion Processes (1981)Applications of the Malliavin Calculus, Part I (1984)The Malliavin Calculus and Related Topics (1995)Numerical error for SDE: Asymptotic expansion and hyperdistributions (2003)
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  • 2005On an approximation problem for stochastic integrals where random time nets do not help23 cited
  • 2003Analysis of Error with Malliavin Calculus: Application to Hedging18 cited
  • 2001Frequent Hedging under Transaction Costs and a Nonlinear Fokker--Planck PDE16 cited

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