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Publications by Jérôme Detemple

Nonparametric Estimation of American Options’ Exercise Boundaries and Call Prices

Journal of Economic Dynamics and Control

Applied Mathematics

English

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State Price Density Estimation and Nonparametric Pricing of Basket Options

Journal of Mathematical Finance

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Optimal Exercise Prices for Executive Stock Options

American Economic Review

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Estimation of Ask and Bid Prices for Geometric Asian Options

Discrete Dynamics in Nature and Society

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Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

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Estimation of a Nonparametric Model for Bond Prices From Cross-Section and Time Series Information

SSRN Electronic Journal

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A Note on American Options With Varying Exercise Price

The Journal of the Australian Mathematical Society. Series B. Applied Mathematics

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Nonparametric Conditional Estimation

English

Nonparametric Density and Regression Estimation

Journal of Economic Perspectives

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Nonparametric Instrumental-Variable Estimation

English