Alet Roux

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Higher order approximation of option prices in Barndorff-Nielsen and Shephard models Quantitative Finance	2025-01-06	Paper
Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs International Journal of Theoretical and Applied Finance	2022-09-22	Paper
Game options with gradual exercise and cancellation under proportional transaction costs Stochastics	2022-07-05	Paper
Game options with gradual exercise and cancellation under proportional transaction costs Stochastics	2022-07-05	Paper
Pricing and hedging game options in currency models with proportional transaction costs International Journal of Theoretical and Applied Finance	2016-12-08	Paper
Linear vector optimization and European option pricing under proportional transaction costs Springer Proceedings in Mathematics & Statistics	2016-05-13	Paper
American and Bermudan options in currency markets with proportional transaction costs Acta Applicandae Mathematicae	2016-04-11	Paper
American options with gradual exercise under proportional transaction costs International Journal of Theoretical and Applied Finance	2015-01-23	Paper
scientific article; zbMATH DE number 6346534 (Why is no real title available?)	2014-09-19	Paper
Derivative pricing in discrete time Springer Undergraduate Mathematics Series	2012-08-13	Paper
The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads Journal of Mathematical Economics	2011-07-27	Paper
American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions Acta Applicandae Mathematicae	2009-06-30	Paper
Options under proportional transaction costs: An algorithmic approach to pricing and hedging Acta Applicandae Mathematicae	2008-09-10	Paper
The fundamental theorem of asset pricing under proportional transaction costs	2007-10-15	Paper
A counter-example to an option pricing formula under transaction costs Finance and Stochastics	2007-05-29	Paper
An Improved Theta-method for Systems of Ordinary Differential Equations Journal of Difference Equations and Applications	2003-01-01	Paper
On quantization of quadratic Poisson structures Communications in Mathematical Physics	2002-04-22	Paper
Closed form solution to zero coupon bond using a linear stochastic delay differential equation (available as arXiv preprint)	N/A	Paper

Research outcomes over time

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