38 citations · 119 across the 10 of their papers we have counts for
13 papers
A probabilistic approach to continuous differentiability of optimal stopping boundaries
Tiziano De Angelis, Damien Lamberton
We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a o…
Properties of the American price function in the Heston-type models
Damien Lamberton, Giulia Terenzi
We study some properties of the American option price in the stochastic volatility Heston model. We first prove that, if the payoff function is convex and satisfies some regularity…
On the binomial approximation of the American put
Damien Lamberton
We consider the binomial approximation of the American put price in the Black-Scholes model (with continuous dividend yield). Our main result is that the error of approximation is…
Variational formulation of American option prices in the Heston Model
Damien Lamberton, Giulia Terenzi
We give an analytical characterization of the price function of an American option in Heston-type models. Our approach is based on variational inequalities and extends recent resul…
The Critical Price Of The American Put Near Maturity In The Jump Diffusion Model
Aych Bouselmi, Damien Lamberton
We study the behavior of the critical price of an American put option near maturity in the Jump diffusion model when the underlying stock pays dividends at a continuous rate and th…
On the Optimal Stopping of a One-dimensional Diffusion
Damien Lamberton, Mihail Zervos
We consider a one-dimensional diffusion which solves a stochastic differential equation with Borel-measurable coefficients in an open interval. We allow for the endpoints to be ina…
Exercise Boundary of the American Put Near Maturity in an Exponential Lévy Model
Damien Lamberton, Mohammed Mikou
We study the behavior of the critical price of an American put option near maturity in the exponential Lévy model when the underlying stock pays dividends at a continuous rate. In…
Continuity correction for barrier options in jump-diffusion models
El Hadj Aly Dia, Damien Lamberton
The aim of this paper is to study the continuity correction for barrier options in jump-diusion models. For this purpose, we express the pay-off a barrier option in terms of the ma…
Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
El Hadj Aly Dia, Damien Lamberton
Motivated by the pricing of lookback options in exponential Lévy models, we study the difference between the continuous and discrete supremum of Lévy processes. In particular, we e…
A duality approach for the weak approximation of stochastic differential equations
Emmanuelle Clément, Arturo Kohatsu-Higa, Damien Lamberton
In this article we develop a new methodology to prove weak approximation results for general stochastic differential equations. Instead of using a partial differential equation app…
A penalized bandit algorithm
Damien Lamberton, Gilles Pagès
We study a two armed-bandit algorithm with penalty. We show the convergence of the algorithm and establish the rate of convergence. For some choices of the parameters, we obtain a…
How fast is the bandit?
Damien Lamberton, Gilles Pagès
In this paper we investigate the rate of convergence of the so-called two-armed bandit algorithm in a financial context of asset allocation. The behaviour of the algorithm turns ou…
When can the two-armed bandit algorithm be trusted?
Damien Lamberton, Gilles Pages, Pierre Tarres
We investigate the asymptotic behavior of one version of the so-called two-armed bandit algorithm. It is an example of stochastic approximation procedure whose associated ODE has b…