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1

Variational inequalities and the pricing of American options

Patrick Jaillet, Damien Lamberton, Bernard Lapeyre

Journal:

Acta Applicandae Mathematicae

Year:

1990

Language:

english

File:

PDF, 1.01 MB

english, 1990

2

An analysis of a least squares regression method for American option pricing

Emmanuelle Clément, Damien Lamberton, Philip Protter

Journal:

Finance and Stochastics

Year:

2002

Language:

english

File:

PDF, 195 KB

english, 2002

3

Continuity Correction for Barrier Options in Jump-Diffusion Models

Dia, El Hadj Aly, Lamberton, Damien

Journal:

SIAM Journal on Financial Mathematics

Year:

2011

Language:

english

File:

PDF, 403 KB

english, 2011

4

EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS

ABBAS-TURKI, LOKMAN A., LAMBERTON, DAMIEN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2014

Language:

english

File:

PDF, 632 KB

english, 2014

5

Variational Formulation of American Option Prices in the Heston Model

Lamberton, Damien, Terenzi, Giulia

Journal:

SIAM Journal on Financial Mathematics

Year:

2019

Language:

english

File:

PDF, 602 KB

english, 2019

6

Hedging Index Options With Few Assets

Damien Lamberton, Bernard Lapeyre

Journal:

Mathematical Finance

Year:

1993

Language:

english

File:

PDF, 759 KB

english, 1993

7

Convergence of the Critical Price In the Approximation of American Options

Damien Lamberton

Journal:

Mathematical Finance

Year:

1993

Language:

english

File:

PDF, 454 KB

english, 1993

8

Quelques Remarques Sur La Regularite Lp Du Semi-Groupe De Stokes

Thierry, Coulhon, Damien, Lamberton

Journal:

Communications in Partial Differential Equations

Year:

1992

Language:

english

File:

PDF, 415 KB

english, 1992

9

RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT

LAMBERTON, DAMIEN, PAGÈS, GILLES

Journal:

Stochastics and Dynamics

Year:

2003

Language:

english

File:

PDF, 222 KB

english, 2003

10

Local Risk-Minimization under Transaction Costs

Damien Lamberton, Huyên Pham and Martin Schweizer

Journal:

Mathematics of Operations Research

Year:

1998

Language:

english

File:

PDF, 1020 KB

english, 1998

11

The Critical Price of the American Put Near Maturity in the Jump Diffusion Model

Bouselmi, Aych, Lamberton, Damien

Journal:

SIAM Journal on Financial Mathematics

Year:

2016

Language:

english

File:

PDF, 501 KB

english, 2016

12

The Smooth-Fit Property in an Exponential Lévy Model

Lamberton, Damien, Mikou, Mohammed

Journal:

Journal of Applied Probability

Year:

2012

Language:

english

File:

PDF, 119 KB

english, 2012

13

Variational Formulation of American Option Prices in the Heston Model

Lamberton, Damien, Terenzi, Giulia

Journal:

SIAM Journal on Financial Mathematics

Year:

2019

File:

PDF, 602 KB

2019

14

Equations d'évolution linéaires associées à des semi-groupes de contractions dans les espaces Lp

Damien Lamberton

Journal:

Journal of Functional Analysis

Year:

1987

File:

PDF, 479 KB

1987

15

Residual risks and hedging strategies in Markovian markets

Nicolas Bouleau, Damien Lamberton

Journal:

Stochastic Processes and their Applications

Year:

1989

Language:

english

File:

PDF, 1.10 MB

english, 1989

16

Optimal stopping with irregular reward functions

Damien Lamberton

Journal:

Stochastic Processes and their Applications

Year:

2009

Language:

english

File:

PDF, 1.26 MB

english, 2009

17

The critical price for the American put in

Damien Lamberton, Mohammed Mikou

Journal:

Finance and Stochastics

Year:

2008

Language:

english

File:

PDF, 443 KB

english, 2008

18

Exercise boundary of the American put near maturity in an exponential Lévy model

Lamberton, Damien, Mikou, Mohammed Adam

Journal:

Finance and Stochastics

Year:

2013

Language:

english

File:

PDF, 1.09 MB

english, 2013

19

Critical Price near Maturity for an American Option on a Dividend-Paying Stock

Damien Lamberton and Stéphane Villeneuve

Journal:

The Annals of Applied Probability

Year:

2003

Language:

english

File:

PDF, 311 KB

english, 2003

20

When Can the Two-Armed Bandit Algorithm Be Trusted?

Damien Lamberton, Gilles Pagès and Pierre Tarrès

Journal:

The Annals of Applied Probability

Year:

2004

Language:

english

File:

PDF, 612 KB

english, 2004

21

How Fast Is the Bandit?

Lamberton, Damien, Pagès, Gilles

Journal:

Stochastic Analysis and Applications

Year:

2008

Language:

english

File:

PDF, 140 KB

english, 2008

22

Error Estimates for the Binomial Approximation of American Put Options

Damien Lamberton

Journal:

The Annals of Applied Probability

Year:

1998

Language:

english

File:

PDF, 1.65 MB

english, 1998

23

Optimal Stopping and Embedding

Damien Lamberton and L. C. G. Rogers

Journal:

Journal of Applied Probability

Year:

2000

Language:

english

File:

PDF, 441 KB

english, 2000

24

Recursive Computation of the Invariant Distribution of a Diffusion

Damien Lamberton and Gilles Pagès

Journal:

Year:

2002

Language:

english

File:

PDF, 2.90 MB

english, 2002

25

A Duality Approach for the Weak Approximation of Stochastic Differential Equations

Emmanuelle Clément, Arturo Kohatsu-Higa and Damien Lamberton

Journal:

The Annals of Applied Probability

Year:

2006

Language:

english

File:

PDF, 2.04 MB

english, 2006

26

Local Risk-Minimization Under Transaction Costs

Lamberton, Damien, Pham, Huyên, Schweizer, Martin

Journal:

Mathematics of Operations Research

Year:

1998

Language:

english

File:

PDF, 278 KB

english, 1998

27

On the optimal stopping of a one-dimensional diffusion

Lamberton, Damien, Zervos, Mihail

Journal:

Electronic Journal of Probability

Year:

2013

Language:

english

File:

PDF, 494 KB

english, 2013

28

A duality approach for the weak approximation of stochastic differential equations

Clément, Emmanuelle, Kohatsu-Higa, Arturo, Lamberton, Damien

Journal:

The Annals of Applied Probability

Year:

2006

Language:

english

File:

PDF, 295 KB

english, 2006

29

The Smooth-Fit Property in an Exponential Lévy Model

Lamberton, Damien, Mikou, Mohammed

Journal:

Journal of Applied Probability

Year:

2012

Language:

english

File:

PDF, 145 KB

english, 2012

30

Optimal stopping and embedding

Lamberton, Damien, Rogers, L. C. G.

Journal:

Journal of Applied Probability

Year:

2000

Language:

english

File:

PDF, 98 KB

english, 2000

31

Bovine Teat Microbiome Analysis Revealed Reduced Alpha Diversity and Significant Changes in Taxonomic Profiles in Quarters with a History of Mastitis

Falentin, Hélène, Rault, Lucie, Nicolas, Aurélie, Bouchard, Damien S., Lassalas, Jacques, Lamberton, Philippe, Aubry, Jean-Marc, Marnet, Pierre-Guy, Le Loir, Yves, Even, Sergine

Journal:

Frontiers in Microbiology

Year:

2016

Language:

english

File:

PDF, 2.67 MB

english, 2016

32

On the Binomial Approximation of the American Put

Lamberton, Damien

Journal:

Applied Mathematics & Optimization

Year:

2018

Language:

english

File:

PDF, 559 KB

english, 2018