1 citations · 1 across the 10 of their papers we have counts for
11 papers
Accelerated Quantum Amplitude Estimation without QFT
Alet Roux, Tomasz Zastawniak
We put forward a Quantum Amplitude Estimation algorithm delivering superior performance (lower quantum computational complexity and faster classical computation parts) compared to…
Bitcoin option pricing: A market attention approach
Alvaro Guinea Julia, Alet Roux
A model is proposed for Bitcoin prices that takes into account market attention. Market attention, modeled by a mean-reverting Cox-Ingersoll-Ross processes, affects the volatility…
Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
Alet Roux, Zhikang Xu
We consider indifference pricing of contingent claims consisting of payment flows in a discrete time model with proportional transaction costs and under exponential disutility. Thi…
Game options with gradual exercise and cancellation under proportional transaction costs
Alet Roux, Tomasz Zastawniak
Game (Israeli) options in a multi-asset market model with proportional transaction costs are studied in the case when the buyer is allowed to exercise the option and the seller has…
Pricing and hedging game options in currency models with proportional transaction costs
Alet Roux
The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient c…
Linear vector optimization and European option pricing under proportional transaction costs
Alet Roux, Tomasz Zastawniak
A method for pricing and superhedging European options under proportional transaction costs based on linear vector optimisation and geometric duality developed by Lohne & Rudloff (…