Damien Lamberton

Publication Activity (10 Years)

Years Active: 1996-2019
Publications (10 Years): 2

Top Topics

Diffusion Models

Theoretical Framework

Laplace Transform

Top Venues

SIAM J. Financial Math.

Finance Stochastics

J. Appl. Probab.

Publications

Damien Lamberton, Giulia Terenzi
Variational Formulation of American Option Prices in the Heston Model. SIAM J. Financial Math. 10 (1) (2019)
Aych I. Bouselmi, Damien Lamberton
The Critical Price of the American Put Near Maturity in the Jump Diffusion Model. SIAM J. Financial Math. 7 (1) (2016)
Damien Lamberton, Mohammed Adam Mikou
Exercise boundary of the American put near maturity in an exponential Lévy model. Finance Stochastics 17 (2) (2013)
Damien Lamberton, Mohammed Adam Mikou
The Smooth-Fit Property in an Exponential Lévy Model. J. Appl. Probab. 49 (1) (2012)
El Hadj Aly Dia, Damien Lamberton
Continuity Correction for Barrier Options in Jump-Diffusion Models. SIAM J. Financial Math. 2 (1) (2011)
Damien Lamberton, Mohammed Adam Mikou
The critical price for the American put in an exponential Lévy model. Finance Stochastics 12 (4) (2008)
Emmanuelle Clement, Damien Lamberton, Philip Protter
An analysis of a least squares regression method for American option pricing. Finance Stochastics 6 (4) (2002)
Damien Lamberton, Huyên Pham, Martin Schweizer
Local Risk-Minimization Under Transaction Costs. Math. Oper. Res. 23 (3) (1998)
Damien Lamberton, Gilles Pagès
On the critical points of the 1-dimensional competitive learning vector quantization algorithm. ESANN (1996)