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20052008
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations · 475 across the 4 of their papers we have counts for

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q-fin.PR2007

Smart expansion and fast calibration for jump diffusion

Eric Benhamou, Emmanuel Gobet, Mohammed Miri

Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and Poisson jump process. We show t…