Details about Jerome Detemple

Homepage:	https://www.bu.edu/questrom/profile/jerome-detemple/
Workplace:	Department of Finance, Questrom School of Business, Boston University, (more information at EDIRC)

Access statistics for papers by Jerome Detemple.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pde1414

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Working Papers

2024

1. Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility
   Papers, arXiv.org View citations (1)
   See also Journal Article Dynamic equilibrium with insider information and general uninformed agent utility, Mathematical Finance, Wiley Blackwell (2025) (2025)

2023

2. Volatility during the COVID-19 Pandemic
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2020

3. American Step Options
   Post-Print, HAL View citations (6)
   See also Journal Article American step options, European Journal of Operational Research, Elsevier (2020) View citations (3) (2020)

2017

4. American Options with Discontinuous Two-Level Caps
   Papers, arXiv.org
5. On American VIX options under the generalized 3/2 and 1/2 models
   Papers, arXiv.org
   See also Journal Article On American VIX options under the generalized 3/2 and 1/2 models, Mathematical Finance, Wiley Blackwell (2018) View citations (8) (2018)

2013

6. Asset Pricing with Regime-Dependent Preferences and Learning
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (11)

2005

7. Wealth-Robust Intertemporal Incentive Contracts
   Computing in Economics and Finance 2005, Society for Computational Economics

2004

8. Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes
   Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (1)
   Also in CIRANO Working Papers, CIRANO (2003)
   See also Journal Article Asymptotic properties of Monte Carlo estimators of diffusion processes, Journal of Econometrics, Elsevier (2006) View citations (17) (2006)

2000

9. A Monte-Carlo Method for Optimal Portfolios
   CIRANO Working Papers, CIRANO View citations (18)
   See also Journal Article A Monte Carlo Method for Optimal Portfolios, Journal of Finance, American Finance Association (2003) View citations (122) (2003)

1999

10. American Options: Symmetry Properties
    CIRANO Working Papers, CIRANO View citations (1)
11. Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach
    CIRANO Working Papers, CIRANO View citations (52)
    See also Journal Article Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach, The Review of Financial Studies, Society for Financial Studies (1999) View citations (63) (1999)
12. The Valuation of Volatility Options
    CIRANO Working Papers, CIRANO View citations (2)
    See also Journal Article The Valuation of Volatility Options, Review of Finance, European Finance Association (2000) View citations (62) (2000)

1998

13. Dynamic Equilibrium with Liquidity Constraints
    CIRANO Working Papers, CIRANO View citations (2)
    See also Journal Article Dynamic Equilibrium with Liquidity Constraints, The Review of Financial Studies, Society for Financial Studies (2003) View citations (33) (2003)

1997

14. Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets
    CIRANO Working Papers, CIRANO View citations (1)
    See also Journal Article Aggregation, efficiency and mutual fund separation in incomplete markets, Economic Theory, Springer (1998) View citations (10) (1998)
15. Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints
    CIRANO Working Papers, CIRANO View citations (69)
    See also Journal Article Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints, The Review of Financial Studies, Society for Financial Studies (1997) View citations (67) (1997)

1996

16. American Options on Dividend-Paying Assets
    CIRANO Working Papers, CIRANO
17. American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation
    CIRANO Working Papers, CIRANO View citations (10)
    See also Journal Article American options with stochastic dividends and volatility: A nonparametric investigation, Journal of Econometrics, Elsevier (2000) View citations (36) (2000)
18. Nonparametric Estimation of American Options Exercise Boundaries and Call Prices
    CIRANO Working Papers, CIRANO View citations (5)
    See also Journal Article Nonparametric estimation of American options' exercise boundaries and call prices, Journal of Economic Dynamics and Control, Elsevier (2000) View citations (15) (2000)
19. Recent Advances in Numerical Methods for Pricing Derivative Securities
    CIRANO Working Papers, CIRANO View citations (1)

1995

20. Asset and Commodity Prices with Multiattribute Durable Goods
    CIRANO Working Papers, CIRANO
    See also Journal Article Asset and commodity prices with multi-attribute durable goods, Journal of Economic Dynamics and Control, Elsevier (1996) View citations (13) (1996)
21. The relevance of financial policy
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1990)
    Working Papers, Columbia - Graduate School of Business (1989)
    See also Journal Article The relevance of financial policy, European Economic Review, Elsevier (1995) View citations (4) (1995)

1994

22. American Capped Call Options on Dividend Paying Assets
    CIRANO Working Papers, CIRANO
    Also in Working Papers, Columbia - Graduate School of Business (1993)
    See also Journal Article American Capped Call Options on Dividend-Paying Assets, The Review of Financial Studies, Society for Financial Studies (1995) View citations (36) (1995)
23. American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods
    CIRANO Working Papers, CIRANO View citations (2)
    See also Journal Article American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods, The Review of Financial Studies, Society for Financial Studies (1996) View citations (167) (1996)
24. The Valuation of American Options on Multiple Assets
    CIRANO Working Papers, CIRANO View citations (1)
    See also Journal Article The Valuation of American Options on Multiple Assets, Mathematical Finance, Wiley Blackwell (1997) View citations (64) (1997)

1993

25. Bounds and Approximations for American Option Values
    Working Papers, Columbia - Graduate School of Business

1989

26. BOUD COVENANTS AND THE VALUATION OF RISK DEBT: A NEW APPROACH
    Working Papers, Columbia - Graduate School of Business
27. FINANCIAL INNOVATION, VALUES AND VOLATILITIES WHEN MARKETS ARE INCOMPLETE
    Working Papers, Columbia - Graduate School of Business View citations (2)
28. OPTIMAL CONSUMPTION-PORTFOLIO POLICIES WITH HABIT FORMATION
    Working Papers, Columbia - Graduate School of Business View citations (1)
29. OPTION LISTING AND STOCK RETURNS
    Working Papers, Columbia - Graduate School of Business View citations (8)

Journal Articles

2025

1. Dynamic equilibrium with insider information and general uninformed agent utility
   Mathematical Finance, 2025, 35, (1), 111-160
   See also Working Paper Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility, Papers (2024) View citations (1) (2024)

2024

2. Renewable energy investment under stochastic interest rate with regime-switching volatility
   Energy Economics, 2024, 136, (C)

2022

3. Asset Prices and Pandemics: The Effects of Lockdowns
   Quarterly Journal of Finance (QJF), 2022, 12, (01), 1-43 View citations (2)
4. Dynamic noisy rational expectations equilibrium with insider information: Welfare and regulation
   Journal of Economic Dynamics and Control, 2022, 141, (C) View citations (1)
5. Optimal technology adoption for power generation
   Energy Economics, 2022, 111, (C) View citations (2)

2021

6. Callable barrier reverse convertible securities
   Quantitative Finance, 2021, 21, (9), 1519-1532 View citations (1)
7. Optimal Power Investment and Pandemics: A Micro-Economic Analysis
   Energies, 2021, 14, (4), 1-25 View citations (1)

2020

8. American step options
   European Journal of Operational Research, 2020, 282, (1), 363-385 View citations (3)
   See also Working Paper American Step Options, Post-Print (2020) View citations (6) (2020)
9. Dynamic Noisy Rational Expectations Equilibrium With Insider Information
   Econometrica, 2020, 88, (6), 2697-2737 View citations (7)
10. The Value of Green Energy: Optimal Investment in Mutually Exclusive Projects and Operating Leverage
    The Review of Financial Studies, 2020, 33, (7), 3307-3347 View citations (8)
11. The value of green energy under regulation uncertainty
    Energy Economics, 2020, 89, (C) View citations (18)

2018

12. Asset pricing with beliefs-dependent risk aversion and learning
    Journal of Financial Economics, 2018, 128, (3), 504-534 View citations (12)
13. On American VIX options under the generalized 3/2 and 1/2 models
    Mathematical Finance, 2018, 28, (2), 550-581 View citations (8)
    See also Working Paper On American VIX options under the generalized 3/2 and 1/2 models, Papers (2017) (2017)
14. Optimal Investment under Cost Uncertainty
    Risks, 2018, 6, (1), 1-19 View citations (2)

2014

15. Optimal Exercise for Derivative Securities
    Annual Review of Financial Economics, 2014, 6, (1), 459-487 View citations (6)
16. Portfolio Selection: A Review
    Journal of Optimization Theory and Applications, 2014, 161, (1), 1-21 View citations (13)

2013

17. A Structural Model of Dynamic Market Timing
    The Review of Financial Studies, 2013, 26, (10), 2492-2547

2012

18. An optimal stopping problem with a reward constraint
    Finance and Stochastics, 2012, 16, (3), 423-448 View citations (3)

2010

19. Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications
    The Review of Financial Studies, 2010, 23, (1), 25-100 View citations (25)

2009

20. American chooser options
    Journal of Economic Dynamics and Control, 2009, 33, (1), 128-153 View citations (8)
21. Life-Cycle Finance and the Design of Pension Plans
    Annual Review of Financial Economics, 2009, 1, (1), 249-286 View citations (25)

2008

22. Dynamic asset liability management with tolerance for limited shortfalls
    Insurance: Mathematics and Economics, 2008, 43, (3), 281-294 View citations (19)

2007

23. Monte Carlo methods for derivatives of options with discontinuous payoffs
    Computational Statistics & Data Analysis, 2007, 51, (7), 3393-3417 View citations (1)

2006

24. Asymptotic properties of Monte Carlo estimators of diffusion processes
    Journal of Econometrics, 2006, 134, (1), 1-68 View citations (17)
    See also Working Paper Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes, Econometric Society 2004 North American Winter Meetings (2004) View citations (1) (2004)

2005

25. Asymptotic Properties of Monte Carlo Estimators of Derivatives
    Management Science, 2005, 51, (11), 1657-1675 View citations (10)
26. CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
    Mathematical Finance, 2005, 15, (4), 539-568 View citations (21)
27. Intertemporal asset allocation: A comparison of methods
    Journal of Banking & Finance, 2005, 29, (11), 2821-2848 View citations (16)
28. Representation formulas for Malliavin derivatives of diffusion processes
    Finance and Stochastics, 2005, 9, (3), 349-367 View citations (14)

2004

29. ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications
    Management Science, 2004, 50, (9), 1145-1177 View citations (74)
30. Optimal consumption-portfolio choices and retirement planning
    Journal of Economic Dynamics and Control, 2004, 28, (6), 1115-1148 View citations (57)

2003

31. A Monte Carlo Method for Optimal Portfolios
    Journal of Finance, 2003, 58, (1), 401-446 View citations (122)
    See also Working Paper A Monte-Carlo Method for Optimal Portfolios, CIRANO Working Papers (2000) View citations (18) (2000)
32. Dynamic Equilibrium with Liquidity Constraints
    The Review of Financial Studies, 2003, 16, (2), 597-629 View citations (33)
    See also Working Paper Dynamic Equilibrium with Liquidity Constraints, CIRANO Working Papers (1998) View citations (2) (1998)
33. Non-addictive habits: optimal consumption-portfolio policies
    Journal of Economic Theory, 2003, 113, (2), 265-285 View citations (17)

2002

34. Asset pricing in an intertemporal partially-revealing rational expectations equilibrium
    Journal of Mathematical Economics, 2002, 38, (1-2), 219-248 View citations (7)
35. Book Reviews
    Journal of Economics, 2002, 75, (2), 189-194
36. The Valuation of American Options for a Class of Diffusion Processes
    Management Science, 2002, 48, (7), 917-937 View citations (45)

2000

37. American options with stochastic dividends and volatility: A nonparametric investigation
    Journal of Econometrics, 2000, 94, (1-2), 53-92 View citations (36)
    See also Working Paper American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation, CIRANO Working Papers (1996) View citations (10) (1996)
38. Nonparametric estimation of American options' exercise boundaries and call prices
    Journal of Economic Dynamics and Control, 2000, 24, (11-12), 1829-1857 View citations (15)
    See also Working Paper Nonparametric Estimation of American Options Exercise Boundaries and Call Prices, CIRANO Working Papers (1996) View citations (5) (1996)
39. The Valuation of Volatility Options
    Review of Finance, 2000, 4, (1), 21-50 View citations (62)
    See also Working Paper The Valuation of Volatility Options, CIRANO Working Papers (1999) View citations (2) (1999)

1999

40. Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach
    The Review of Financial Studies, 1999, 12, (4), 835-72 View citations (63)
    See also Working Paper Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach, CIRANO Working Papers (1999) View citations (52) (1999)

1998

41. Aggregation, efficiency and mutual fund separation in incomplete markets
    Economic Theory, 1998, 11, (2), 443-455 View citations (10)
    See also Working Paper Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets, CIRANO Working Papers (1997) View citations (1) (1997)
42. Generalized optimal stopping problems and financial markets, by Dennis Wong
    International Journal of Stochastic Analysis, 1998, 11, 1-2

1997

43. Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints
    The Review of Financial Studies, 1997, 10, (4), 1133-74 View citations (67)
    See also Working Paper Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints, CIRANO Working Papers (1997) View citations (69) (1997)
44. The Valuation of American Options on Multiple Assets
    Mathematical Finance, 1997, 7, (3), 241-286 View citations (64)
    See also Working Paper The Valuation of American Options on Multiple Assets, CIRANO Working Papers (1994) View citations (1) (1994)

1996

45. American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods
    The Review of Financial Studies, 1996, 9, (4), 1211-50 View citations (167)
    See also Working Paper American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods, CIRANO Working Papers (1994) View citations (2) (1994)
46. Asset and commodity prices with multi-attribute durable goods
    Journal of Economic Dynamics and Control, 1996, 20, (8), 1451-1504 View citations (13)
    See also Working Paper Asset and Commodity Prices with Multiattribute Durable Goods, CIRANO Working Papers (1995) (1995)

1995

47. American Capped Call Options on Dividend-Paying Assets
    The Review of Financial Studies, 1995, 8, (1), 161-91 View citations (36)
    See also Working Paper American Capped Call Options on Dividend Paying Assets, CIRANO Working Papers (1994) (1994)
48. The relevance of financial policy
    European Economic Review, 1995, 39, (6), 1133-1154 View citations (4)
    See also Working Paper The relevance of financial policy, LIDAM Reprints CORE (1995) View citations (1) (1995)

1994

49. Intertemporal Asset Pricing with Heterogeneous Beliefs
    Journal of Economic Theory, 1994, 62, (2), 294-320 View citations (96)

1993

50. Demande de portefeuille et politique de couverture de risque sous information incomplète
    L'Actualité Economique, 1993, 69, (1), 45-70

1992

51. Optimal Consumption‐Portfolio Policies With Habit Formation1
    Mathematical Finance, 1992, 2, (4), 251-274 View citations (36)

1991

52. A General Equilibrium Analysis of Option and Stock Market Interactions
    International Economic Review, 1991, 32, (2), 279-303 View citations (81)
53. Asset Prices in an Exchange Economy with Habit Formation
    Econometrica, 1991, 59, (6), 1633-57 View citations (103)
54. Further results on asset pricing with incomplete information
    Journal of Economic Dynamics and Control, 1991, 15, (3), 425-453 View citations (28)

1990

55. Financial Innovation, Values and Volatilities when Markets Are Incomplete&ast
    The Geneva Risk and Insurance Review, 1990, 15, (1), 47-53 View citations (5)
56. Option listing and stock returns: An empirical analysis
    Journal of Banking & Finance, 1990, 14, (4), 781-801 View citations (55)

1988

57. Hedging with futures in an intertemporal portfolio context
    Journal of Futures Markets, 1988, 8, (3), 249-269 View citations (6)

1987

58. Acquisition d’information dans un modèle intertemporel en temps continu
    L'Actualité Economique, 1987, 63, (2), 118-137 View citations (5)

1986

59. Asset Pricing in a Production Economy with Incomplete Information
    Journal of Finance, 1986, 41, (2), 383-91 View citations (138)