Alet Roux

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Higher order approximation of option prices in Barndorff-Nielsen and Shephard models	2025-01-06	Paper
OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS	2022-09-22	Paper
Game options with gradual exercise and cancellation under proportional transaction costs	2022-07-05	Paper
Pricing and hedging game options in currency models with proportional transaction costs	2016-12-08	Paper
Linear Vector Optimization and European Option Pricing Under Proportional Transaction Costs	2016-05-13	Paper
American and Bermudan options in currency markets with proportional transaction costs	2016-04-11	Paper
AMERICAN OPTIONS WITH GRADUAL EXERCISE UNDER PROPORTIONAL TRANSACTION COSTS	2015-01-23	Paper
https://portal.mardi4nfdi.de/entity/Q3190964	2014-09-19	Paper
Derivative Pricing in Discrete Time	2012-08-13	Paper
The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads	2011-07-27	Paper
American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions	2009-06-30	Paper
Options under proportional transaction costs: An algorithmic approach to pricing and hedging	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	2007-05-29	Paper
An Improved Theta-method for Systems of Ordinary Differential Equations	2003-01-01	Paper
On quantization of quadratic Poisson structures	2002-04-22	Paper
Closed form solution to zero coupon bond using a linear stochastic delay differential equation	N/A	Paper

Research outcomes over time

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