10 citations · 11 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…
Construction of Martingale Measure in the Hazard Process Model of Credit Risk
Marek Capiński, Tomasz Zastawniak
In credit risk literature, the existence of an equivalent martingale measure is stipulated as one of the main assumptions in the hazard process model. Here we show by construction…
Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs
Martin Brown, Tomasz Zastawniak
We show that the lack of arbitrage in a model with both fixed and proportional transaction costs is equivalent to the existence of a family of absolutely continuous single-step pro…
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…
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 (…
American options with gradual exercise under proportional transaction costs
Alet Roux, Tomasz Zastawniak
American options in a multi-asset market model with proportional transaction costs are studied in the case when the holder of an option is able to exercise it gradually at a so-cal…