The goal of Mike Levy and Glenn Stockwell's CALL Dimensions: Options and Issues in Computer-Assisted Language Learning is to build a detailed picture of modern-day computer-assisted language learning (CALL) for language teachers, researchers, and materials designers and evaluators. To begin their discussion on CALL, Levy and Stockwell identified a number of keyword descriptors, called "CALL dim...

We solve the problem of pricing and optimal exercise of American call-type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89168, 2009].

It is well known [5], [1] that in models with time-homogeneous local volatility functions and constant interest and dividend rates, the European Put prices are transformed into European Call prices by the simultaneous exchanges of the interest and dividend rates and of the strike and spot price of the underlying. This paper investigates such a Call Put duality for perpetual American options. It...

W present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European call-option prices are readily available. By approximating the value function with an appropriately chosen interpolation function, the pricing of an American-style derivative with arbitrary payoff function is converted to ...

This paper proposes a generalized pricing formula and sensitivity analysis for sequential compound options (SCOs). Most compound options described in literatures, initiating by Geske [Geske, R., 1977. The Valuation of Corporate Liabilities as Compound Options. Journal of Finance and Quantitative Analysis, 12, 541–552; Geske, R., 1979. The Valuation of Compound Options. Journal of Financial Econ...

The empirical evidence on the effect of options trading on the underlying stocks primarily comes from the United States. The existing literature is surveyed by Damodaran and Subrahmanyam (1992). They find a consistent evidence of positive excess returns with the introduction of call options and negative excess returns with the introduction of put options. They also find strong evidence of a dec...

We study European options on the ratio of the stock price to its average and viceversa. Some of these options are traded in the Australian Stock Exchange since 1992, thus we call them Australian options. For geometric averages, we obtain closed-form expressions for option prices. For arithmetic means, we use different approximations that produce very similar results.

Tuenter considered centered binomial sums of the form Sr(n) = 2n ∑

We propose a copositive relaxation framework to calculate both upper and lower bounds for prices of some European options with non-convex payoffs when first and second moments of underlying assets are known. Computational results shows that these upper and lower bounds are reasonably good for call options on the minimum of multiple assets and put options on the maximum of multiple assets.

This paper presents a number of new theoretical results for replication of barrier options through a static portfolio of European put and call options. Our results are valid for options with completely general knock-out/knock-in sets, and allow for timeand state-dependents volatility as well as discontinuous asset dynamics. We illustrate the theory with numerical examples and discuss the practi...