Follow
Alet Roux
Title
Cited by
Cited by
Year
An improved theta-method for systems of ordinary differential equations
JMS Lubuma, A Roux
The Journal of Difference Equations and Applications 9 (11), 1023-1035, 2003
412003
Options under proportional transaction costs: An algorithmic approach to pricing and hedging
A Roux, K Tokarz, T Zastawniak
Acta Applicandae Mathematicae 103 (2), 201-219, 2008
26*2008
American options under proportional transaction costs: Pricing, hedging and stopping algorithms for long and short positions
A Roux, T Zastawniak
Acta Applicandae Mathematicae 106, 199-228, 2009
212009
American and Bermudan options in currency markets with proportional transaction costs
A Roux, T Zastawniak
Acta Applicandae Mathematicae 141 (1), 187-225, 2016
192016
The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads
A Roux
Journal of Mathematical Economics 47 (2), 159-163, 2011
132011
A counter-example to an option pricing formula under transaction costs
A Roux, T Zastawniak
Finance and Stochastics 10 (4), 575-578, 2006
8*2006
Pricing and hedging game options in currency models with proportional transaction costs
A Roux
International Journal of Theoretical and Applied Finance 19 (07), 1650043, 2016
62016
Options under transaction costs: Algorithms for pricing and hedging of European and American options under proportional transaction costs and different borrowing and lending rates
A Roux
VDM Verlag, 2008
62008
Parallel binomial American option pricing under proportional transaction costs
N Zhang, A Roux, T Zastawniak
Scientific Research Publishing, 2012
52012
American options under proportional transaction costs: Seller’s price algorithm, hedging strategy and optimal stopping
A Roux, T Zastawniak
Preprint, University of York, 2006
52006
Game options with gradual exercise and cancellation under proportional transaction costs
A Roux, T Zastawniak
Stochastics 90 (8), 1190-1220, 2018
42018
American options with gradual exercise under proportional transaction costs
A Roux, T Zastawniak
International Journal of Theoretical and Applied Finance 17 (08), 1450052, 2014
42014
European and American options under proportional transaction costs
A Roux
42006
Parallel binomial valuation of American options with proportional transaction costs
N Zhang, A Roux, T Zastawniak
Advanced Parallel Processing Technologies, 88-97, 2011
32011
Derivative Pricing and Hedging
NJ Cutland, A Roux, NJ Cutland, A Roux
Derivative Pricing in Discrete Time, 1-9, 2013
22013
Parallel Binomial American Option Pricing with (and without) Transaction Costs
N Zhang, A Roux, T Zastawniak
arXiv preprint arXiv:1110.2477, 2011
22011
The fundamental theorem of asset pricing under proportional transaction costs
A Roux
arXiv preprint arXiv:0710.2758, 2007
22007
A simple market model
NJ Cutland, A Roux, NJ Cutland, A Roux
Derivative pricing in discrete time, 11-33, 2013
12013
Fourier series and spectral-finite difference methods for the general linear diffusion equation
A Roux
University of Pretoria Internal Report, UPWI 3, 2002
12002
Closed form solution to zero coupon bond using a linear stochastic delay differential equation
A Roux, ÁG Juliá
arXiv preprint arXiv:2402.16428, 2024
2024
The system can't perform the operation now. Try again later.
Articles 1–20