Damien Lamberton

According to our database1, Damien Lamberton authored at least 9 papers between 1996 and 2019.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Dataset
Other 

Links

On csauthors.net:

Bibliography

2019
Variational Formulation of American Option Prices in the Heston Model.
SIAM J. Financial Math., 2019

2016
The Critical Price of the American Put Near Maturity in the Jump Diffusion Model.
SIAM J. Financial Math., 2016

2013
Exercise boundary of the American put near maturity in an exponential Lévy model.
Finance Stochastics, 2013

2012
The Smooth-Fit Property in an Exponential Lévy Model.
J. Appl. Probab., 2012

2011
Continuity Correction for Barrier Options in Jump-Diffusion Models.
SIAM J. Financial Math., 2011

2008
The critical price for the American put in an exponential Lévy model.
Finance Stochastics, 2008

2002
An analysis of a least squares regression method for American option pricing.
Finance Stochastics, 2002

1998
Local Risk-Minimization Under Transaction Costs.
Math. Oper. Res., 1998

1996
On the critical points of the 1-dimensional competitive learning vector quantization algorithm.
Proceedings of the 4th European Symposium on Artificial Neural Networks, 1996


  Loading...