Concepedia

D. Lemmens

DL

4

Publications

100

Citations

4

H-Index

2008

Active since

Affiliations

University of Antwerp(Current)

Harvard University

D. Lemmens is an author at University of Antwerp specializing in option pricing, business, and asset pricing.

Top concepts

Option PricingBusinessAsset PricingEngineeringStochastic CalculusStochastic VolatilityMultivariate Stochastic Volatility

Publications per year

2008–2011

4

Publications

4

Pricing bounds for discrete arithmetic Asian options under Lévy models

D. Lemmens, Liyu Liang, J. Tempere et al. · Physica A Statistical Mechanics and its Applications · 2010 · 27 citations

Lévy Models, Option Pricing, Asset Pricing +5

Path integral approach to Asian options in the Black–Scholes model

Jeroen P. A. Devreese, D. Lemmens, J. Tempere · Physica A Statistical Mechanics and its Applications · 2009 · 27 citations · Full text

Option Pricing, Derivative Pricing, Path Integral Approach

Path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

D. Lemmens, Michiel Wouters, J. Tempere et al. · Physical Review E · 2008 · 25 citations · Full text

Option Pricing, Multivariate Stochastic Volatility, Plain Vanilla Option +12

Path integral approach to the pricing of timer options with the Duru-Kleinert time transformation

Liyu Liang, D. Lemmens, J. Tempere · Physical Review E · 2011 · 21 citations

Price Timer Options, Path Integral, Option Pricing +8

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