10 citations · 10 across the 3 of their papers we have counts for
3 papers
q-fin.PR2007
American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions
Alet Roux, Tomasz Zastawniak
American options are studied in a general discrete market in the presence of proportional transaction costs, modelled as bid-ask spreads. Pricing algorithms and constructions of he…
math.PR2007
Relative and Discrete Utility Maximising Entropy
Grzegorz Harańczyk, Wojciech Słomczyński, Tomasz Zastawniak
The notion of utility maximising entropy (u-entropy) of a probability density, which was introduced and studied by Slomczynski and Zastawniak (Ann. Prob 32 (2004) 2261-2285, arXiv:…
math.PR2004★ 10 cited
Utility maximizing entropy and the second law of thermodynamics
Wojciech Slomczynski, Tomasz Zastawniak
Expected utility maximization problems in mathematical finance lead to a generalization of the classical definition of entropy. It is demonstrated that a necessary and sufficient c…