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American and Bermudan options in currency markets under proportional transaction costs. Finance and Stochastics.. 2011.
American options under proportional transaction costs: Pricing, hedging and stopping algorithms for long and short positions. Acta Applicandae Mathematicae. 106:199-228.. 2009.
A counter-example to an option pricing formula under transaction costs. Finance and Stochastics. 10:575-578.. 2006.
Derivative Securities in Discrete Time. Springer Undergraduate Mathematics Series. :325.. 2012.
Derivative Securities in Markets with Bid-Ask Spreads. Global and Stochastic Analysis. 1(2):35.. 2011.
The fundamental theorem of asset pricing under bid-ask and interest rate spreads. Journal of Mathematical Economics. 47. 2011.
An Improved Theta-method for Systems of Ordinary Differential Equations. Journal of Difference Equations and Applications. 9:1023-1035.. 2003.
Options under proportional transaction costs: An algorithmic approach to pricing and hedging. Acta Applicandae Mathematicae. 103:201-209.. 2008.
Parallel Binomial American Option Pricing under Proportional Transaction Costs. Applied Mathematics. 3(11). 2012.
Parallel binomial valuation of American options with proportional transaction costs. Advanced Parallel Processing Technology Symposium, Shanghai, China, September 2011. 6965:88--97.. 2011.
Department of Mathematics, University of York, Heslington, York, UK. YO10 5DD