10 citations · 11 across the 10 of their papers we have counts for
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cs.DC2011
Parallel Binomial American Option Pricing with (and without) Transaction Costs
Nan Zhang, Alet Roux, Tomasz Zastawniak
We present a parallel algorithm that computes the ask and bid prices of an American option when proportional transaction costs apply to the trading of the underlying asset. The alg…
q-fin.PR2011★ 1 cited
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…