Concepedia

Alet Roux

AR

5

Publications

91

Citations

5

H-Index

2003

Active since

Affiliations

University of York(Current)

Alet Roux is an author at University of York specializing in business, option pricing, and finance.

Top concepts

FinanceBusinessOption PricingEconomicsAsset PricingEconomic AnalysisEngineeringMathematical ProgrammingStabilityMarket Design

Publications per year

2003–2015

5

Publications

5

An Improved Theta-method for Systems of Ordinary Differential Equations

Jean Lubuma, Alet Roux · The Journal of Difference Equations and Applications · 2003 · 26 citations

Numerical Analysis, Stability Analysis, Numerical Computation +9

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

Alet Roux, Krzysztof Tokarz, Tomasz Zastawniak · Acta Applicandae Mathematicae · 2008 · 22 citations

Mathematical Programming, Proportional Transaction Costs, Option Pricing +15

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

Alet Roux, Tomasz Zastawniak · Acta Applicandae Mathematicae · 2008 · 18 citations

Mathematical Programming, Option Pricing, Computational Finance +9

American and Bermudan Options in Currency Markets with Proportional Transaction Costs

Alet Roux, Tomasz Zastawniak · Acta Applicandae Mathematicae · 2015 · 14 citations

Proportional Transaction Costs, Economics, Option Pricing +7

The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads

Alet Roux · Journal of Mathematical Economics · 2011 · 11 citations

Empirical Finance, Economics, Option Pricing +8

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