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