Jérôme Detemple

11 papers Journal 11
YearRankTypeTitle / Venue / Authors
2026 J jnl
Volatility During the COVID-19 Pandemic.
Manag. Sci.
Tony Berrada, Jérôme Detemple, Marcel Rindisbacher
2020 J jnl
American step options.
Eur. J. Oper. Res.
Jérôme Detemple, Souleymane Laminou Abdou, Franck Moraux
2018 J jnl
American Options with Discontinuous Two-Level Caps.
SIAM J. Financial Math.
Jérôme Detemple, Yerkin Kitapbayev
2014 J jnl
Portfolio Selection: A Review.
J. Optim. Theory Appl.
Jérôme Detemple
2012 J jnl
An optimal stopping problem with a reward constraint.
Finance Stochastics
Jérôme Detemple, Weidong Tian, Jie Xiong
2007 J jnl
Monte Carlo methods for derivatives of options with discontinuous payoffs.
Comput. Stat. Data Anal.
Jérôme Detemple, Marcel Rindisbacher
2005 J jnl
Asymptotic Properties of Monte Carlo Estimators of Derivatives.
Manag. Sci.
Jérôme Detemple, René Garcia, Marcel Rindisbacher
2005 J jnl
Representation formulas for Malliavin derivatives of diffusion processes.
Finance Stochastics
Jérôme Detemple, René Garcia, Marcel Rindisbacher
2004 J jnl
ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications.
Manag. Sci.
Mark Broadie, Jérôme Detemple
2003 J jnl
Non-addictive habits: optimal consumption-portfolio policies.
J. Econ. Theory
Jérôme Detemple, Ioannis Karatzas
2002 J jnl
The Valuation of American Options for a Class of Diffusion Processes.
Manag. Sci.
Jérôme Detemple, Weidong Tian