10 citations · 11 across the 10 of their papers we have counts for
5 papers · 1 filter
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…
American and Bermudan options in currency markets under proportional transaction costs
Alet Roux, Tomasz Zastawniak
The pricing and hedging of a general class of options (including American, Bermudan and European options) on multiple assets are studied in the context of currency markets where tr…
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…