Alet Roux

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Parallel Binomial American Option Pricing with (and without) Transaction Costs pdf

Nan Zhang, Alet Roux, Tomasz Zastawniak, 2011, ArXiv.

A counter-example to an option pricing formula under transaction costs

Alet Roux, Tomasz Zastawniak, 2006, Finance Stochastics.

Parallel Binomial Valuation of American Options with Proportional Transaction Costs

Nan Zhang, Alet Roux, Tomasz Zastawniak, 2011, APPT.

9 S ep 2 01 1 American and Bermudan options in currency markets under proportional transaction costs

Alet Roux, Tomasz Zastawniak, 2011 .

American and Bermudan Options in Currency Markets with Proportional Transaction Costs

Alet Roux, Tomasz Zastawniak, 2011 .

Options Under Transaction Costs

Alet Roux, 2008 .

An Improved Theta-method for Systems of Ordinary Differential Equations

Alet Roux, Jean M.-S. Lubuma, Alet Roux, 2003 .

European Options Under Proportional Transaction Costs: An Algorithmic Approach to Pricing and Hedging

Alet Roux, Tomasz Zastawniak, Krzysztof Tokarz, 2006 .

American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions

Alet Roux, Tomasz Zastawniak, Alet Roux, 2007 .