Damien Lamberton

According to our database, Damien Lamberton authored at least 9 papers between 1996 and 2019.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2019

Variational Formulation of American Option Prices in the Heston Model.

Damien Lamberton, Giulia Terenzi

SIAM J. Financial Math., 2019

2016

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

Aych I. Bouselmi, Damien Lamberton

SIAM J. Financial Math., 2016

2013

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

Damien Lamberton, Mohammed Adam Mikou

Finance Stochastics, 2013

2012

The Smooth-Fit Property in an Exponential Lévy Model.

Damien Lamberton, Mohammed Adam Mikou

J. Appl. Probab., 2012

2011

Continuity Correction for Barrier Options in Jump-Diffusion Models.

El Hadj Aly Dia, Damien Lamberton

SIAM J. Financial Math., 2011

2008

The critical price for the American put in an exponential Lévy model.

Damien Lamberton, Mohammed Adam Mikou

Finance Stochastics, 2008

2002

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

Emmanuelle Clement, Damien Lamberton, Philip Protter

Finance Stochastics, 2002

1998

Local Risk-Minimization Under Transaction Costs.

Damien Lamberton, Huyên Pham, Martin Schweizer

Math. Oper. Res., 1998

1996

On the critical points of the 1-dimensional competitive learning vector quantization algorithm.

Damien Lamberton, Gilles Pagès

Proceedings of the 4th European Symposium on Artificial Neural Networks, 1996