Dr Alet Roux
BSc BCom (Pret), MPhil (Cantab), PhD (York)
Parallel Binomial American Option Pricing under Proportional Transaction Costs. Applied Mathematics. 3(11). 2012.
American and Bermudan options in currency markets under proportional transaction costs. Finance and Stochastics.. 2011.
Derivative Securities in Markets with Bid-Ask Spreads. Global and Stochastic Analysis. 1(2):35.. 2011.
Department of Mathematics, University of York, Heslington, York, UK. YO10 5DD