1 citations · 1 across the 2 of their papers we have counts for
3 papers
math.PR2019
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…
q-fin.MF2018
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…
q-fin.PR2011★ 1 cited
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…