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Error estimates for the binomial approximation of American put options
Damien Lamberton
The Annals of Applied Probability, 1998, 8 (1), pp.206--233
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Exercise Boundary of the American Put Near Maturity in an Exponential Lévy Model
Damien Lamberton
,
Mohammed Mikou
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The critical price for the American put in an exponential Levy model
Damien Lamberton
,
Mohammed Mikou
Article dans une revue
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hal-00693063v1
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On the Optimal Stopping of a One-dimensional Diffusion
Damien Lamberton
,
Mihail Zervos
Article dans une revue
hal-00720149v1
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Optimal stopping and embedding
Damien Lamberton
,
Lcg Rogers
Journal of Applied Probability, 2000, 37 (4), pp.1143--1148
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Residual risks and hedging strategies in Markovian markets
Nicolas Bouleau
,
Damien Lamberton
Stochastic Processes and their Applications, 1989, 33, pp.131-150
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European Options Sensitivity with Respect to the Correlation for Multidimensional Heston Models
Lokman Abbas-Turki
,
Damien Lamberton
International Journal of Theoretical and Applied Finance, 2014, 17 (03), pp.DOI: 10.1142/S0219024914500150
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A duality approach for the weak approximation of stochastic differential equations
Emmanuelle Clement
,
Arturo Kohatsu-Higa
,
Damien Lamberton
Article dans une revue
hal-00693740v1
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The critical price of the American put near maturity in the jump diffusion model
Aych Bouselmi
,
Damien Lamberton
Article dans une revue
hal-00979936v2
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How fast is the bandit?
Damien Lamberton
,
Gilles Pagès
Article dans une revue
hal-00012182v1
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Optimal stopping with irregular reward functions
Damien Lamberton
Stochastic Processes and their Applications, 2009, 119 (10), pp.3253-3284
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Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
El Hadj Aly Dia
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Damien Lamberton
Article dans une revue
hal-00520227v2
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Properties of the American price function in the Heston-type models
Damien Lamberton
,
Giulia Terenzi
2019
Pré-publication, Document de travail
hal-02088487v1
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Variational inequalities and the pricing of American options
Patrick Jaillet
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Damien Lamberton
,
Bernard Lapeyre
Article dans une revue
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hal-01667008v1
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On the binomial approximation of the American put
Damien Lamberton
Applied Mathematics and Optimization, In press
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hal-01709298v2
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A penalized bandit algorithm
Damien Lamberton
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Gilles Pagès
Electronic Journal of Probability, 2008, 13, 341-373 ; http://dx.doi.org/10.1214/EJP.v13-489. ⟨10.1214/EJP.v13-489⟩
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Local risk-minimization under transaction costs
Damien Lamberton
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H Pham
,
M Schweizer
Article dans une revue
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Brownian optimal stopping and random walks
Damien Lamberton
Article dans une revue
istex
hal-00693616v1
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Continuity correction for barrier options in jump-diffusion models
El Hadj Aly Dia
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Damien Lamberton
Article dans une revue
hal-00547668v1
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Variational formulation of American option prices in the Heston Model
Damien Lamberton
,
Giulia Terenzi
Article dans une revue
hal-01649496v2
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The smooth-fit property in an exponential Lévy model
Damien Lamberton
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Mohammed Mikou
Journal of Applied Probability, 2012, 49 (1), pp.137-149
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