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Damien Lamberton

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

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

Timeline

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Links

On csauthors.net:

Bibliography

2019
Variational Formulation of American Option Prices in the Heston Model.
[BibTeX]
[DOI]
Damien Lamberton
,
Giulia Terenzi
SIAM J. Financial Math., 2019

2016
The Critical Price of the American Put Near Maturity in the Jump Diffusion Model.
[BibTeX]
[DOI]
Aych I. Bouselmi
,
Damien Lamberton
SIAM J. Financial Math., 2016

2013
Exercise boundary of the American put near maturity in an exponential Lévy model.
[BibTeX]
[DOI]
Damien Lamberton
,
Mohammed Adam Mikou
Finance Stochastics, 2013

2012
The Smooth-Fit Property in an Exponential Lévy Model.
[BibTeX]
[DOI]
Damien Lamberton
,
Mohammed Adam Mikou
J. Appl. Probab., 2012

2011
Continuity Correction for Barrier Options in Jump-Diffusion Models.
[BibTeX]
[DOI]
El Hadj Aly Dia
,
Damien Lamberton
SIAM J. Financial Math., 2011

2008
The critical price for the American put in an exponential Lévy model.
[BibTeX]
[DOI]
Damien Lamberton
,
Mohammed Adam Mikou
Finance Stochastics, 2008

2002
An analysis of a least squares regression method for American option pricing.
[BibTeX]
[DOI]
Emmanuelle Clement
,
Damien Lamberton
,
Philip Protter
Finance Stochastics, 2002

1998
Local Risk-Minimization Under Transaction Costs.
[BibTeX]
[DOI]
Damien Lamberton
,
Huyên Pham
,
Martin Schweizer
Math. Oper. Res., 1998

1996
On the critical points of the 1-dimensional competitive learning vector quantization algorithm.
[BibTeX]
[DOI]
Damien Lamberton
,
Gilles Pagès
Proceedings of the 4th European Symposium on Artificial Neural Networks, 1996


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