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Eric Benhamou

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First Name:Eric
Middle Name:
Last Name:Benhamou
RePEc Short-ID:pbe39
CDC Ixis CM 47 Quai d'Austerlitz 75013 Paris Cedex France
0033 1 55 581598
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  1. Eric Benhamou, 2002. "Option pricing with Levy Process," Finance 0212006, EconWPA.
  2. Eric Benhamou, 2002. "A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks," Finance 0212003, EconWPA.
  3. Eric Benhamou, 2002. "A Martingale Result for Convexity Adjustment in the Black Pricing Model," Finance 0212005, EconWPA.
  4. Eric Benhamou, 2002. "Smart Monte Carlo: Various tricks using Malliavin calculus," Finance 0212004, EconWPA.
  5. Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000 33, Society for Computational Economics.
  1. Benhamou, Eric & Duguet, Alexandre, 2003. "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2095-2114, September.

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