Damien Lamberton

Available identifiers

zbMath Open lamberton.damienMaRDI QIDQ388887

List of research outcomes

Publication	Date of Publication	Type
On the binomial approximation of the American put	2020-09-09	Paper
Variational Formulation of American Option Prices in the Heston Model	2019-07-26	Paper
Properties of the American price function in the Heston-type models	2019-04-02	Paper
The Critical Price of the American Put Near Maturity in the Jump Diffusion Model	2016-05-20	Paper
EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS	2014-06-13	Paper
On the optimal stopping of a one-dimensional diffusion	2014-01-17	Paper
Exercise boundary of the American put near maturity in an exponential Lévy model	2013-04-02	Paper
The Smooth-Fit Property in an Exponential Lévy Model	2012-04-20	Paper
Continuity Correction for Barrier Options in Jump-Diffusion Models	2012-04-19	Paper
Connecting discrete and continuous lookback or hindsight options in exponential Lévy models	2012-01-17	Paper
A penalized bandit algorithm	2009-11-20	Paper
Optimal stopping with irregular reward functions	2009-10-13	Paper
The critical price for the American put in an exponential Lévy model	2009-08-08	Paper
https://portal.mardi4nfdi.de/entity/Q3527684	2008-09-29	Paper
How Fast Is the Bandit?	2008-06-12	Paper
https://portal.mardi4nfdi.de/entity/Q5754578	2007-08-23	Paper
A duality approach for the weak approximation of stochastic differential equations	2007-02-05	Paper
When can the two-armed bandit algorithm be trusted?	2004-09-15	Paper
RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT	2004-06-09	Paper
An analysis of a least squares regression method for American option pricing	2004-03-16	Paper
Critical price near maturity for an American option on a dividend-paying stock.	2003-11-17	Paper
Recursive computation of the invariant distribution of a diffusion	2003-03-13	Paper
Brownian optimal stopping and random walks	2002-06-27	Paper
Optimal stopping and embedding	2002-03-14	Paper
Local Risk-Minimization Under Transaction Costs	2001-11-26	Paper
Error estimates for the binomial approximation of American put options	2000-07-05	Paper
https://portal.mardi4nfdi.de/entity/Q4229805	1999-02-28	Paper
Hedging Index Options With Few Assets¹	1998-04-05	Paper
Convergence of the Critical Price In the Approximation of American Options	1998-01-21	Paper
https://portal.mardi4nfdi.de/entity/Q4865494	1996-02-14	Paper
https://portal.mardi4nfdi.de/entity/Q4848526	1996-01-15	Paper
https://portal.mardi4nfdi.de/entity/Q4002884	1992-09-18	Paper
Quelques Remarques Sur La Regularite L^p Du Semi–Groupe De Stokes	1992-06-28	Paper
Residual risks and hedging strategies in Markovian markets	1992-06-25	Paper
https://portal.mardi4nfdi.de/entity/Q4711792	1992-06-25	Paper
Variational inequalities and the pricing of American options	1990-01-01	Paper
Sur l'approximation des réduites. (On the approximation of residues)	1990-01-01	Paper
Equations d'évolution linéaires associées à des semi-groupes de contractions dans les espaces \(L^ p\). (Evolution equations associated to contraction semigroups in \(L^ p\) spaces)	1987-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3790764	1986-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3821110	1986-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3684677	1985-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3782288	1985-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3681345	1984-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3317541	1983-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3699465	1983-01-01	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Damien Lamberton