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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 Article dans une revue hal-00694268v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		A duality approach for the weak approximation of stochastic differential equations Emmanuelle Clement , Arturo Kohatsu-Higa , Damien Lamberton The Annals of Applied Probability, 2006, 16 (3), pp.1124--1154. ⟨10.1214/105051606000000060⟩ Article dans une revue hal-00693740v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		The critical price of the American put near maturity in the jump diffusion model Aych Bouselmi , Damien Lamberton SIAM Journal on Financial Mathematics, 2016, 7 (1), pp.236-272. ⟨10.1137/140965910⟩ Article dans une revue hal-00979936v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Exercise Boundary of the American Put Near Maturity in an Exponential Lévy Model Damien Lamberton , Mohammed Mikou Finance and Stochastics, 2012, 17 (2), pp.355-394. ⟨10.1007/s00780-012-0194-z⟩ Article dans une revue hal-00796717v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Properties of the American price function in the Heston-type models Damien Lamberton , Giulia Terenzi 2019 Pré-publication, Document de travail hal-02088487v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		A penalized bandit algorithm Damien Lamberton , Gilles Pagès Electronic Journal of Probability, 2008, 13, 341-373 ; http://dx.doi.org/10.1214/EJP.v13-489. ⟨10.1214/EJP.v13-489⟩ Article dans une revue hal-00012187v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Variational inequalities and the pricing of American options Patrick Jaillet , Damien Lamberton , Bernard Lapeyre Acta Applicandae Mathematicae, 1990, 21 (3), pp.263 - 289. ⟨10.1007/BF00047211⟩ Article dans une revue istex hal-01667008v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		On the binomial approximation of the American put Damien Lamberton Applied Mathematics and Optimization, In press Article dans une revue hal-01709298v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Optimal stopping and embedding Damien Lamberton , Lcg Rogers Journal of Applied Probability, 2000, 37 (4), pp.1143--1148 Article dans une revue hal-00693753v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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 Article dans une revue hal-00867887v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Residual risks and hedging strategies in Markovian markets Nicolas Bouleau , Damien Lamberton Stochastic Processes and their Applications, 1989, 33, pp.131-150 Article dans une revue hal-00017929v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		On the Optimal Stopping of a One-dimensional Diffusion Damien Lamberton , Mihail Zervos Electronic Journal of Probability, 2013, 18 (34), pp.1-49. ⟨10.1214/EJP.v18-2182⟩ Article dans une revue hal-00720149v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		The critical price for the American put in an exponential Levy model Damien Lamberton , Mohammed Mikou Finance and Stochastics, 2008, 12 (4), pp.561--581. ⟨10.1007/s00780-008-0073-9⟩ Article dans une revue istex hal-00693063v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		How fast is the bandit? Damien Lamberton , Gilles Pagès Stochastic Analysis and Applications, 2008, 26 (3), pp.603-623. ⟨10.1080/07362990802007202⟩ Article dans une revue hal-00012182v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Connecting discrete and continuous lookback or hindsight options in exponential Lévy models El Hadj Aly Dia , Damien Lamberton Advances in Applied Probability, 2011, 43 (4), pp.1136-1165. ⟨10.1239/aap/1324045702⟩ Article dans une revue hal-00520227v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Optimal stopping with irregular reward functions Damien Lamberton Stochastic Processes and their Applications, 2009, 119 (10), pp.3253-3284 Article dans une revue hal-00796701v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Local risk-minimization under transaction costs Damien Lamberton , H Pham , M Schweizer Mathematics of Operations Research, 1998, 23 (3), pp.585--612. ⟨10.1287/moor.23.3.585⟩ Article dans une revue hal-00693905v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Continuity correction for barrier options in jump-diffusion models El Hadj Aly Dia , Damien Lamberton SIAM Journal on Financial Mathematics, 2011, 2 (1), pp.866-900. ⟨10.1137/100817553⟩ Article dans une revue hal-00547668v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		The smooth-fit property in an exponential Lévy model Damien Lamberton , Mohammed Mikou Journal of Applied Probability, 2012, 49 (1), pp.137-149 Article dans une revue hal-00677327v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Variational formulation of American option prices in the Heston Model Damien Lamberton , Giulia Terenzi SIAM Journal on Financial Mathematics, 2019, 10 (1), pp.261-368. ⟨10.1137/17M1158872⟩ Article dans une revue hal-01649496v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Brownian optimal stopping and random walks Damien Lamberton Applied Mathematics and Optimization, 2002, 45 (3), pp.283--324. ⟨10.1007/s00245-001-0033-7⟩ Article dans une revue istex hal-00693616v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More

Filtrer vos résultats

Error estimates for the binomial approximation of American put options

A duality approach for the weak approximation of stochastic differential equations

The critical price of the American put near maturity in the jump diffusion model

Exercise Boundary of the American Put Near Maturity in an Exponential Lévy Model

Properties of the American price function in the Heston-type models

A penalized bandit algorithm

Variational inequalities and the pricing of American options

On the binomial approximation of the American put

Optimal stopping and embedding

European Options Sensitivity with Respect to the Correlation for Multidimensional Heston Models

Residual risks and hedging strategies in Markovian markets

On the Optimal Stopping of a One-dimensional Diffusion

The critical price for the American put in an exponential Levy model

How fast is the bandit?

Connecting discrete and continuous lookback or hindsight options in exponential Lévy models

Optimal stopping with irregular reward functions

Local risk-minimization under transaction costs

Continuity correction for barrier options in jump-diffusion models

The smooth-fit property in an exponential Lévy model

Variational formulation of American option prices in the Heston Model

Brownian optimal stopping and random walks