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ORCIDJérôme Detemple
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Journal Articles
- 2020
[j10]Jérôme Detemple, Souleymane Laminou Abdou
, Franck Moraux:
American step options. Eur. J. Oper. Res. 282(1): 363-385 (2020)- 2018
- [j9]Jérôme Detemple, Yerkin Kitapbayev:
American Options with Discontinuous Two-Level Caps. SIAM J. Financial Math. 9(1): 219-250 (2018) - 2014
- [j8]Jérôme Detemple:
Portfolio Selection: A Review. J. Optim. Theory Appl. 161(1): 1-21 (2014) - 2012
- [j7]Jérôme Detemple, Weidong Tian, Jie Xiong:
An optimal stopping problem with a reward constraint. Finance Stochastics 16(3): 423-448 (2012) - 2007
- [j6]Jérôme Detemple, Marcel Rindisbacher:
Monte Carlo methods for derivatives of options with discontinuous payoffs. Comput. Stat. Data Anal. 51(7): 3393-3417 (2007) - 2005
- [j5]Jérôme Detemple, René Garcia, Marcel Rindisbacher:
Representation formulas for Malliavin derivatives of diffusion processes. Finance Stochastics 9(3): 349-367 (2005) - [j4]Jérôme Detemple, René Garcia, Marcel Rindisbacher:
Asymptotic Properties of Monte Carlo Estimators of Derivatives. Manag. Sci. 51(11): 1657-1675 (2005) - 2004
- [j3]Mark Broadie, Jérôme Detemple:
ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications. Manag. Sci. 50(9): 1145-1177 (2004) - 2003
- [j2]Jérôme Detemple, Ioannis Karatzas:
Non-addictive habits: optimal consumption-portfolio policies. J. Econ. Theory 113(2): 265-285 (2003) - 2002
- [j1]Jérôme Detemple, Weidong Tian:
The Valuation of American Options for a Class of Diffusion Processes. Manag. Sci. 48(7): 917-937 (2002)
Coauthor Index
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