Zobrazeno 1 - 10
of 76
pro vyhledávání: '"Zastawniak, Tomasz"'
Autor:
Roux, Alet, Zastawniak, Tomasz
We put forward a Quantum Amplitude Estimation algorithm delivering superior performance (lower quantum computational complexity and faster classical computation parts) compared to the approaches available to-date. The algorithm does not relay on the
Externí odkaz:
http://arxiv.org/abs/2407.16795
Autor:
Capiński, Marek, Zastawniak, Tomasz
In credit risk literature, the existence of an equivalent martingale measure is stipulated as one of the main assumptions in the hazard process model. Here we show by construction the existence of a measure that turns the discounted stock and default
Externí odkaz:
http://arxiv.org/abs/1908.09857
Autor:
Brown, Martin, Zastawniak, Tomasz
We show that the lack of arbitrage in a model with both fixed and proportional transaction costs is equivalent to the existence of a family of absolutely continuous single-step probability measures, together with an adapted process with values betwee
Externí odkaz:
http://arxiv.org/abs/1905.01859
Autor:
Roux, Alet, Zastawniak, Tomasz
Game (Israeli) options in a multi-asset market model with proportional transaction costs are studied in the case when the buyer is allowed to exercise the option and the seller has the right to cancel the option gradually at a mixed (or randomised) s
Externí odkaz:
http://arxiv.org/abs/1612.02312
Autor:
Zastawniak, Tomasz1 (AUTHOR) tomasz.zastawniak@york.ac.uk
Publikováno v:
Decisions in Economics & Finance. Jun2024, Vol. 47 Issue 1, p137-149. 13p.
Autor:
Roux, Alet, Zastawniak, Tomasz
A method for pricing and superhedging European options under proportional transaction costs based on linear vector optimisation and geometric duality developed by Lohne & Rudloff (2014) is compared to a special case of the algorithms for American typ
Externí odkaz:
http://arxiv.org/abs/1407.5877
Autor:
Roux, Alet, Zastawniak, Tomasz
American options in a multi-asset market model with proportional transaction costs are studied in the case when the holder of an option is able to exercise it gradually at a so-called mixed (randomised) stopping time. The introduction of gradual exer
Externí odkaz:
http://arxiv.org/abs/1308.2688
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 desig
Externí odkaz:
http://arxiv.org/abs/1110.2477
Autor:
Roux, Alet, Zastawniak, Tomasz
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 is subject to proportional transaction costs, and where the exis
Externí odkaz:
http://arxiv.org/abs/1108.1910
Autor:
Roux, Alet, Zastawniak, Tomasz
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 pr
Externí odkaz:
http://arxiv.org/abs/0709.1589