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 | 41 | 2003 |
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 | 21 | 2009 |
American and Bermudan options in currency markets with proportional transaction costs A Roux, T Zastawniak Acta Applicandae Mathematicae 141 (1), 187-225, 2016 | 19 | 2016 |
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 | 13 | 2011 |
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 | 6 | 2016 |
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 | 6 | 2008 |
Parallel binomial American option pricing under proportional transaction costs N Zhang, A Roux, T Zastawniak Scientific Research Publishing, 2012 | 5 | 2012 |
American options under proportional transaction costs: Seller’s price algorithm, hedging strategy and optimal stopping A Roux, T Zastawniak Preprint, University of York, 2006 | 5 | 2006 |
Game options with gradual exercise and cancellation under proportional transaction costs A Roux, T Zastawniak Stochastics 90 (8), 1190-1220, 2018 | 4 | 2018 |
American options with gradual exercise under proportional transaction costs A Roux, T Zastawniak International Journal of Theoretical and Applied Finance 17 (08), 1450052, 2014 | 4 | 2014 |
European and American options under proportional transaction costs A Roux | 4 | 2006 |
Parallel binomial valuation of American options with proportional transaction costs N Zhang, A Roux, T Zastawniak Advanced Parallel Processing Technologies, 88-97, 2011 | 3 | 2011 |
Derivative Pricing and Hedging NJ Cutland, A Roux, NJ Cutland, A Roux Derivative Pricing in Discrete Time, 1-9, 2013 | 2 | 2013 |
Parallel Binomial American Option Pricing with (and without) Transaction Costs N Zhang, A Roux, T Zastawniak arXiv preprint arXiv:1110.2477, 2011 | 2 | 2011 |
The fundamental theorem of asset pricing under proportional transaction costs A Roux arXiv preprint arXiv:0710.2758, 2007 | 2 | 2007 |
A simple market model NJ Cutland, A Roux, NJ Cutland, A Roux Derivative pricing in discrete time, 11-33, 2013 | 1 | 2013 |
Fourier series and spectral-finite difference methods for the general linear diffusion equation A Roux University of Pretoria Internal Report, UPWI 3, 2002 | 1 | 2002 |
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 |