Damien LAMBERTON
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LAMBERTON
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Damien
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Site: | UGE | |
Bureau: | 4B 024 | |
Téléphone: | +33 1 60 95 75 36 | |
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Courriel: |
damien.lamberton@univ-eiffel.fr
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- Properties of the American price function in the Heston-type models
- Variational formulation of American option prices in the Heston Model
- On the binomial approximation of the American put
- The critical price of the American put near maturity in the jump diffusion model
- European Options Sensitivity with Respect to the Correlation for Multidimensional Heston Models
- On the Optimal Stopping of a One-dimensional Diffusion
- The smooth-fit property in an exponential Lévy model
- Exercise Boundary of the American Put Near Maturity in an Exponential Lévy Model
- Continuity correction for barrier options in jump-diffusion models
- Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
- Optimal stopping with irregular reward functions
- How fast is the bandit?
- A penalized bandit algorithm
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The critical price for the American put in an exponential Levy model
auteurDamien Lamberton, Mohammed MikouFinance and Stochastics 12 (2008) 561--581
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A duality approach for the weak approximation of stochastic differential equations
auteurEmmanuelle Clement, Arturo Kohatsu-Higa, Damien LambertonThe Annals of Applied Probability 16 (2006) 1124--1154
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Brownian optimal stopping and random walks
auteurDamien LambertonApplied Mathematics and Optimization 45 (2002) 283--324
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Optimal stopping and embedding
auteurDamien Lamberton, Lcg RogersJournal of Applied Probability 37 (2000) 1143--1148
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Error estimates for the binomial approximation of American put options
auteurDamien LambertonThe Annals of Applied Probability 8 (1998) 206--233
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Local risk-minimization under transaction costs
auteurDamien Lamberton, H Pham, M SchweizerMathematics of Operations Research 23 (1998) 585--612
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Variational inequalities and the pricing of American options
auteurPatrick Jaillet, Damien Lamberton, Bernard LapeyreActa Applicandae Mathematicae 21 (1990) 263 - 289
- Residual risks and hedging strategies in Markovian markets