Linear vector optimization and European option pricing under proportional transaction costs

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 type derivatives due to Roux & Zastawniak (2014). An equivalence between these two approaches is established by means of a general result linking the support function of the upper image of a linear vector optimisation problem with the lower image of the dual linear optimisation problem

Pricing and hedging game options in currency models with proportional transaction costs

The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient constructions for optimal hedging, cancellation and exercise strategies are presented, together with numerical examples, as well as probabilistic dual representations for the bid and ask price of a game option

Game options with gradual exercise and cancellation under proportional transaction costs

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) stopping time, rather than instantly at an ordinary stopping time. Allowing gradual exercise and cancellation leads to increased flexibility in hedging, and hence tighter bounds on the option price as compared to the case of instantaneous exercise and cancellation. Algorithmic constructions for the bid and ask prices, and the associated superhedging strategies and optimal mixed stopping times for both exercise and cancellation are developed and illustrated. Probabilistic dual representations for bid and ask prices are also established

The use of nonword keywords in the speech assessment of English second language learners

Use of nonwords is a potentially more appropriate method of assessment for English second language (EL2) learners. A mixed comparative design was used to compare the effects when using nonwords instead of picture-based stimuli to assess articulation of EL2 learners. Subaims were to compare results between two tests and age groups. In all, 16 Setswana L1 children assigned to two age cohorts were assessed using the Goldman-Fristoe Test of Articulation–second edition (GFTA-2), and nonword list was created via a registered Speech Motor Learning website. Results of the two assessments differed significantly, indicating that lack of semantic information may yield different outcomes for articulation assessments of EL2 learners. Speech sound differences on the GFTA-2 were sounds not found in L1. This agrees with previous research indicating incorrect diagnosis due to speech and language differences. There was no significant difference between the two age cohorts. This research forms the basis for investigations into nonwords as a more accurate method for assessment of EL2 learners.http://cdq.sagepub.comhj2019Science, Mathematics and Technology EducationSpeech-Language Pathology and Audiolog