Jérôme Detemple

According to our database, Jérôme Detemple authored at least 10 papers between 2002 and 2020.

Collaborative distances:

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

2020

American step options.

Jérôme Detemple, Souleymane Laminou Abdou, Franck Moraux

Eur. J. Oper. Res., 2020

2018

American Options with Discontinuous Two-Level Caps.

Jérôme Detemple, Yerkin Kitapbayev

SIAM J. Financial Math., 2018

2014

Portfolio Selection: A Review.

Jérôme Detemple

J. Optim. Theory Appl., 2014

2012

An optimal stopping problem with a reward constraint.

Jérôme Detemple, Weidong Tian, Jie Xiong

Finance Stochastics, 2012

2007

Monte Carlo methods for derivatives of options with discontinuous payoffs.

Jérôme Detemple, Marcel Rindisbacher

Comput. Stat. Data Anal., 2007

2005

Asymptotic Properties of Monte Carlo Estimators of Derivatives.

Jérôme Detemple, René Garcia, Marcel Rindisbacher

Manag. Sci., 2005

Representation formulas for Malliavin derivatives of diffusion processes.

Jérôme Detemple, René Garcia, Marcel Rindisbacher

Finance Stochastics, 2005

2004

ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications.

Mark Broadie, Jérôme Detemple

Manag. Sci., 2004

2003

Non-addictive habits: optimal consumption-portfolio policies.

Jérôme Detemple, Ioannis Karatzas

J. Econ. Theory, 2003

2002

The Valuation of American Options for a Class of Diffusion Processes.

Jérôme Detemple, Weidong Tian

Manag. Sci., 2002