10 citations · 11 across the 10 of their papers we have counts for
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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:…