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内部出版物
Springer电子图书(11)
SpringerLink电子期刊(6)
Elsevier电子期刊(7)
在“
SpringerLink电子期刊
”中,
命中:
6
条,耗时:小于0.01 秒
在所有数据库中总计命中:
24
条
1.
American and Bermudan Options in Currency Markets with Proportional Transaction Costs
作者:
Alet
Roux
;
Tomasz Zastawniak
关键词:
American options
;
Optimal stopping
;
Proportional transaction costs
;
Currencies
;
91G20
;
91G60
;
60G40
刊名:Acta Applicandae Mathematicae
出版年:2016
2.
Parallel Binomial Valuation of American Options with Proportional Transaction Costs
作者:
Nan Zhang (1) nan.zhang@xjtlu.edu.cn
Alet
Roux
(2)
alet
.
roux
@york.ac.uk
Tomasz Zastawniak (2) tomasz.zastawniak@york.ac.uk
关键词:
Parallel computing –
;
multi
;
core processing –
;
option pricing –
;
binomial process –
;
transaction costs
刊名:Lecture Notes in Computer Science
出版年:2011
3.
American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for聽Long and Short Positions
作者:
Alet
Roux
(1)
Tomasz Zastawniak (1)
关键词:
American options
;
Transaction costs
;
Randomised stopping
;
Superhedging
刊名:Acta Applicandae Mathematicae
出版年:2009
4.
Options under Proportional Transaction Costs: An聽Algorithmic Approach to Pricing and Hedging
作者:
Alet
Roux
(1)
Krzysztof Tokarz (2)
Tomasz Zastawniak (1)
关键词:
Option pricing
;
Hedging
;
Transaction costs
;
Dynamic programming
刊名:Acta Applicandae Mathematicae
出版年:2008
5.
A counter-example to an option pricing formula under transaction costs
作者:
Alet
Roux
and Tomasz Zastawniak
关键词:
Transaction costs
;
Arbitrage
;
Option pricing
;
Replication
;
Superreplication
刊名:Finance and Stochastics
出版年:2006
6.
A counter-example to an option pricing formula under transaction costs
作者:
Alet
Roux
and Tomasz Zastawniak
关键词:
Transaction costs
;
Arbitrage
;
Option pricing
;
Replication
;
Superreplication
刊名:Finance and Stochastics
出版年:2006
1
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