I am interested in the pricing, hedging and optimal exercise of
options in models with imperfections such as transaction costs and
trading constraints.
For a full publication list, please visit my official homepage. Below
is a list of material that hasn't been published elsewhere (or that I
would like to advertise better).
Publications
If you feel generous, please buy my book: Options
Under Transaction Costs: Algorithms for Pricing and Hedging of European
and American Options Under Proportional Transaction Costs and Different
Borrowing and Lending Rates.
How to read mathematics.
Modelling high-frequency financial
data, MPhil project, Statistical Laboratory, University of
Cambridge.
Some properties of continuous-time
autoregressive moving average time series models, Honours
essay, Department
of Statistics, University of Pretoria.
Fourier series and spectral-finite
difference methods for the general linear diffusion equation,
Internal
report UPWI 2002/03, University of Pretoria.
Code
C++ code that
computes the bid and ask prices of American and European options in
binomial and trinomial models with proportional transaction costs. The code may be interesting to readers of the
following papers:
- Boyle, P P, Vorst, T, Option Replication in Discrete Time with
Transaction Costs, The Journal of Finance, 1992, XLVII, 347-382.
- Edirisinghe, C; Naik, V, Uppal, R, Optimal Replication of Options
with Transactions Costs and Trading Restrictions The Journal of
Financial and Quantitative Analysis, 1993, 28, 117-138.
- Palmer, K, A note on the Boyle-Vorst discrete-time option pricing
model with transactions costs, Mathematical Finance, 2001, 11, 357-363.
- Perrakis, S, Lefoll, J, The American put under transactions costs
Journal of Economic Dynamics and Control, 2004, 28, 915-935.
- Tokarz, K, Zastawniak, T, American contingent claims under small
proportional transaction costs Journal of Mathematical Economics, 2006,
43, 65-85.
- Roux, A, Options under transaction costs: Algorithms for pricing
and hedging of European and American options under proportional
transaction costs and different borrowing and lending rates VDM Verlag,
2008.
- Roux, A, Tokarz, K, Zastawniak, T, Options under Proportional
Transaction Costs: An Algorithmic Approach to Pricing and Hedging Acta
Applicandae Mathematicae, 2008, 103, 201-219.
- Roux, A, Zastawniak, T, American Options under Proportional
Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long
and Short Positions Acta Applicandae Mathematicae, 2009, 106, 199-228.
- Loehne, A, Rudloff, B, An algorithm for calculating the set
of superhedging portfolios and strategies in markets with transaction
costs, 2011.
Please drop me a line if you find the code useful.
Last modified: 31 October 2011.
