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19962003
most citedComment on: "Two-phase behaviour of financial markets"

5 citations · 7 across the 2 of their papers we have counts for

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cond-mat2000

Hedged Monte-Carlo: low variance derivative pricing with objective probabilities

Marc Potters, Jean-Philippe Bouchaud, Dragan Sestovic

We propose a new `hedged' Monte-Carlo (HMC) method to price financial derivatives, which allows to determine simultaneously the optimal hedge. The inclusion of the optimal hedging…