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- Alet Roux
- 2008

We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account has different interest rates for borrowing and lending. We show that such a model is free of arbitrage if and only if one can embed in it a friction-free model that is itself… (More)

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 hedging strategies, stopping times and martingale representations are presented for short (seller’s) and long (buyer’s) positions in an American option with an arbitrary payoff.… (More)

We present a parallel algorithm that computes the ask and bid prices of an American option when proportional transaction costs apply to trading in the underlying asset. The algorithm computes the prices on recombining binomial trees, and is designed for modern multi-core processors. Although parallel option pricing has been well studied, none of the… (More)

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

The paper is devoted to optimal superreplication of European options in the discrete setting under proportional transaction costs on the underlying asset. In particular, general pricing and hedging algorithms are developed. This extends previous work by many authors, which has been focused on the binomial tree model and options with specific payoffs such as… (More)

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

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 algorithm computes the prices on recombining binomial trees, and is designed for modern multi-core processors. Although parallel option pricing has been well studied, none of the… (More)

- Alet Roux
- 2016

Despite the traction that contemporary out-of-home advertising has gained in the global media landscape, there are still some ambiguities regarding the contribution of this medium in the context of integrated marketing communication. Previous studies have examined consumers’ responses to different out-of-home advertising media types; however, little… (More)

- Alet Roux, Tomasz Zastawniak
- Finance and Stochastics
- 2006

In the paper by Melnikov and Petrachenko ‘On option pricing in binomial market with transaction costs,’ Finance Stoch. 9 (2005), 141–149, a procedure is put forward for pricing and replicating an arbitrary European contingent claim in the binomial model with bid-ask spreads. We present a counter-example to show that the option pricing formula stated in that… (More)

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 trading in all assets is subject to proportional transaction costs, and where the existence of a risk-free numéraire is not assumed. Probabilistic dual representations are obtained… (More)

- Alet Roux
- 2015

We establish the fundamental theorem of asset pricing to a model with proportional transaction costs on trading in shares and different interest rates for borrowing and lending of cash. We show that such a model is free of arbitrage if and only if one can embed in it a friction-free model that is itself free of arbitrage, i.e. if there exists an artificial… (More)

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