Damien LAMBERTON
- Fiche
- Publications
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LAMBERTON
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| Prénom: |
Damien
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| Site: | UGE | |
| Bureau: | 4B 024 | |
| Téléphone: | +33 1 60 95 75 36 | |
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| Équipe de recherche: | ||
| Courriel: |
damien.lamberton@univ-eiffel.fr
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Variational formulation of American option prices in the Heston Model
auteurDamien Lamberton, Giulia TerenziSIAM Journal on Financial Mathematics 10 (2019) 261-368
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Properties of the American price function in the Heston-type models
auteurDamien Lamberton, Giulia Terenzi(2019)
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On the binomial approximation of the American put
auteurDamien LambertonApplied Mathematics and Optimization (2018)
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The critical price of the American put near maturity in the jump diffusion model
auteurAych Bouselmi, Damien LambertonSIAM Journal on Financial Mathematics 7 (2016) 236–272
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European Options Sensitivity with Respect to the Correlation for Multidimensional Heston Models
auteurLokman Abbas-Turki, Damien LambertonInternational Journal of Theoretical and Applied Finance 17 (2014) DOI: 10.1142/S0219024914500150
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On the Optimal Stopping of a One-dimensional Diffusion
auteurDamien Lamberton, Mihail ZervosElectronic Journal of Probability 18 (2013) 1-49
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Exercise Boundary of the American Put Near Maturity in an Exponential Lévy Model
auteurDamien Lamberton, Mohammed MikouFinance and Stochastics 17 (2012) 355-394
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The smooth-fit property in an exponential Lévy model
auteurDamien Lamberton, Mohammed MikouJournal of Applied Probability 49 (2012) 137-149
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Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
auteurEl Hadj Aly Dia, Damien LambertonAdvances in Applied Probability 43 (2011) 1136-1165
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Continuity correction for barrier options in jump-diffusion models
auteurEl Hadj Aly Dia, Damien LambertonSIAM Journal on Financial Mathematics 2 (2011) 866-900
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Optimal stopping with irregular reward functions
auteurDamien LambertonStochastic Processes and their Applications 119 (2009) 3253-3284
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A penalized bandit algorithm
auteurDamien Lamberton, Gilles PagèsElectronic Journal of Probability 13 (2008) 341-373 ; http://dx.doi.org/10.1214/EJP.v13-489
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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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How fast is the bandit?
auteurDamien Lamberton, Gilles PagèsStochastic Analysis and Applications 26 (2008) 603-623
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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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Local risk-minimization under transaction costs
auteurDamien Lamberton, H Pham, M SchweizerMathematics of Operations Research 23 (1998) 585--612
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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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Variational inequalities and the pricing of American options
auteurPatrick Jaillet, Damien Lamberton, Bernard LapeyreActa Applicandae Mathematicae 21 (1990) 263 - 289
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Residual risks and hedging strategies in Markovian markets
auteurNicolas Bouleau, Damien LambertonStochastic Processes and their Applications 33 (1989) 131-150
