Items where authors include "Roux, Alet"

Article

Roux, Alet orcid.org/0000-0001-9176-4468 and Guinea Julia, Álvaro (2024) Higher order approximation of option prices in Barndorff-Nielsen and Shephard models. Quantitative Finance. ISSN 1469-7688

Roux, Alet orcid.org/0000-0001-9176-4468 and Xu, Zhikang (2022) Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs. International Journal of Theoretical and Applied Finance. ISSN 0219-0249

Roux, Alet orcid.org/0000-0001-9176-4468 and Zastawniak, Tomasz Jerzy (2018) Game options with gradual exercise and cancellation under proportional transaction costs. Stochastics: An International Journal of Probability and Stochastic Processes.

Roux, Alet orcid.org/0000-0001-9176-4468 (2016) Pricing and hedging game options in currency models with proportional transaction costs. International Journal of Theoretical and Applied Finance. 1650043. ISSN 0219-0249

Roux, Alet orcid.org/0000-0001-9176-4468 and Zastawniak, Tomasz (2014) American options with gradual exercise under proportional transaction costs. International Journal of Theoretical and Applied Finance. 1450052. ISSN 0219-0249

Preprint

Roux, Alet orcid.org/0000-0001-9176-4468 and Guinea Julia, Álvaro (2024) Closed form solution to zero coupon bond using a linear stochastic delay differential equation. [Preprint]