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Jerome B. Detemple · Study
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Author
Jerome B. Detemple
36 works
· latest 2012
· 6 institutions
cluster: provisional
ORCID 0000-0003-1173-6374
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36
Citations
4,839
Works here
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Most cited in this library
American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods
1996 · 547 citations
Intertemporal Asset Pricing with Heterogeneous Beliefs
1994 · 361 citations
Asset Pricing in a Production Economy with Incomplete Information
1986 · 338 citations
A Monte Carlo Method for Optimal Portfolios
2003 · 306 citations
Asset Prices in an Exchange Economy with Habit Formation
1991 · 298 citations
Works
36 shown
Portfolio Selection: A Review
Journal of Optimization Theory and Applications
·
2012
·
1 author
55
citations
American Options: Symmetry Properties
Cambridge University Press eBooks
·
2010
·
1 author
·
chapter
·
Open access
51
citations
Life-Cycle Finance and the Design of Pension Plans
Annual Review of Financial Economics
·
2009
·
3 authors
·
review
47
citations
Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications
Review of Financial Studies
·
2009
·
2 authors
64
citations
Dynamic asset liability management with tolerance for limited shortfalls
Insurance Mathematics and Economics
·
2008
·
2 authors
56
citations
American-Style Derivatives
Chapman & Hall/CRC eBooks
·
2005
·
1 author
·
other
126
citations
CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
Mathematical Finance
·
2005
·
2 authors
·
Open access
54
citations
Representation formulas for Malliavin derivatives of diffusion processes
Finance and Stochastics
·
2005
·
3 authors
35
citations
Intertemporal asset allocation: A comparison of methods
Journal of Banking & Finance
·
2005
·
3 authors
32
citations
ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications
Management Science
·
2004
·
2 authors
183
citations
Option Pricing: Valuation Models and Applications
·
2004
·
2 authors
164
citations
The valuation of American call options on the minimum of two dividend-paying assets
The Annals of Applied Probability
·
2003
·
3 authors
·
Open access
38
citations
Non-addictive habits: optimal consumption-portfolio policies
Journal of Economic Theory
·
2003
·
2 authors
48
citations
Optimal consumption–portfolio choices and retirement planning
Journal of Economic Dynamics and Control
·
2003
·
3 authors
167
citations
Dynamic Equilibrium with Liquidity Constraints
Review of Financial Studies
·
2003
·
2 authors
93
citations
A Monte Carlo Method for Optimal Portfolios
The Journal of Finance
·
2003
·
3 authors
·
Open access
306
citations
The Valuation of American Options for a Class of Diffusion Processes
Management Science
·
2002
·
2 authors
106
citations
Nonparametric estimation of American options’ exercise boundaries and call prices
Journal of Economic Dynamics and Control
·
2000
·
4 authors
·
Open access
57
citations
The Valuation of Volatility Options
European Finance Review
·
2000
·
2 authors
124
citations
American options with stochastic dividends and volatility: A nonparametric investigation
Journal of Econometrics
·
2000
·
4 authors
·
Open access
83
citations
A Monte Carlo Method for Optimal Portfolios
SSRN Electronic Journal
·
2000
·
3 authors
·
preprint
·
Open access
31
citations
Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach
Review of Financial Studies
·
1999
·
2 authors
·
Open access
162
citations
Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints
Review of Financial Studies
·
1997
·
2 authors
167
citations
The Valuation of American Options on Multiple Assets
Mathematical Finance
·
1997
·
2 authors
185
citations
Recent Advances in Numerical Methods for Pricing Derivative Securities
Cambridge University Press eBooks
·
1997
·
2 authors
·
chapter
·
Open access
60
citations
American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods
Review of Financial Studies
·
1996
·
2 authors
547
citations
American Capped Call Options on Dividend-Paying Assets
Review of Financial Studies
·
1995
·
2 authors
94
citations
Intertemporal Asset Pricing with Heterogeneous Beliefs
Journal of Economic Theory
·
1994
·
2 authors
361
citations
Optimal Consumption‐Portfolio Policies With Habit Formation 1
Mathematical Finance
·
1992
·
2 authors
84
citations
Asset Prices in an Exchange Economy with Habit Formation
Econometrica
·
1991
·
2 authors
298
citations
Further results on asset pricing with incomplete information
Journal of Economic Dynamics and Control
·
1991
·
1 author
·
Open access
80
citations
A General Equilibrium Analysis of Option and Stock Market Interactions
International Economic Review
·
1991
·
2 authors
211
citations
Option listing and stock returns
Journal of Banking & Finance
·
1990
·
2 authors
214
citations
Hedging with futures in an intertemporal portfolio context
Journal of Futures Markets
·
1988
·
1 author
37
citations
On the Optimal Hedge of a Nontraded Cash Position
The Journal of Finance
·
1988
·
1 author
81
citations
Asset Pricing in a Production Economy with Incomplete Information
The Journal of Finance
·
1986
·
1 author
338
citations