Discrete Mathematics with Graph Theory (Classic Version) (3rd Edition) (Pearson Modern Classics for Advanced Mathematics Series)
3rd Edition
ISBN: 9780134689555
Author: Edgar Goodaire, Michael Parmenter
Publisher: PEARSON
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Textbook Question
Chapter 0.1, Problem 11TFQ
The negation of an existential quantifier is its own converse.
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Question 1. Your manager asks you to explain why the Black-Scholes model may be inappro-
priate for pricing options in practice. Give one reason that would substantiate this claim?
Question 2. We consider stock #1 and stock #2 in the model of Problem 2. Your manager
asks you to pick only one of them to invest in based on the model provided. Which one do you
choose and why ?
Question 3. Let (St) to be an asset modeled by the Black-Scholes SDE. Let Ft be the price
at time t of a European put with maturity T and strike price K. Then, the discounted option
price process (ert Ft) t20 is a martingale. True or False? (Explain your answer.)
Question 4. You are considering pricing an American put option using a Black-Scholes model
for the underlying stock. An explicit formula for the price doesn't exist. In just a few words (no
more than 2 sentences), explain how you would proceed to price it.
Question 5. We model a short rate with a Ho-Lee model drt = ln(1+t) dt +2dWt. Then the
interest rate…
In this problem, we consider a Brownian motion (W+) t≥0. We consider a stock model (St)t>0
given (under the measure P) by
d.St 0.03 St dt + 0.2 St dwt,
with So 2. We assume that the interest rate is r = 0.06. The purpose of this problem is to
price an option on this stock (which we name cubic put). This option is European-type, with
maturity 3 months (i.e. T = 0.25 years), and payoff given by
F = (8-5)+
(a) Write the Stochastic Differential Equation satisfied by (St) under the risk-neutral measure
Q. (You don't need to prove it, simply give the answer.)
(b) Give the price of a regular European put on (St) with maturity 3 months and strike K = 2.
(c) Let X =
S. Find the Stochastic Differential Equation satisfied by the process (Xt)
under the measure Q.
(d) Find an explicit expression for X₁ = S3 under measure Q.
(e) Using the results above, find the price of the cubic put option mentioned above.
(f) Is the price in (e) the same as in question (b)? (Explain why.)
3. Consider the polynomial equation 6-iz+7z² - iz³ +z = 0 for which the roots are 3i, -2i, -i,
and i.
(a) Verify the relations between this roots and the coefficients of the polynomial.
(b) Find the annulus region in which the roots lie.
Chapter 0 Solutions
Discrete Mathematics with Graph Theory (Classic Version) (3rd Edition) (Pearson Modern Classics for Advanced Mathematics Series)
Ch. 0.1 - pandq is false if pandq are false.Ch. 0.1 - If pandq is false, then both pandq are false.Ch. 0.1 - True/False Questions
3. It is possible for both “”...Ch. 0.1 - True/False Questions
4. It is possible for both “”...Ch. 0.1 - The implication If 22=5, then 32=9 is true.Ch. 0.1 - The negation of a=b=0 is ab0.Ch. 0.1 - The converse of the implication in Question 5 is...Ch. 0.1 - True/False Questions
8. The double implication “...Ch. 0.1 - It is possible for both an implication and its...Ch. 0.1 - The statement Some frogs have red toes makes use...
Ch. 0.1 - The negation of an existential quantifier is its...Ch. 0.1 -
Classify each of the following statements as...Ch. 0.1 -
Classify each of the following statements as...Ch. 0.1 - 3. Rewrite each of the following statements so...Ch. 0.1 -
4. Determine whether each of the following...Ch. 0.1 - Write down the negation of each of the following...Ch. 0.1 -
6. Write down the converse and contrapositive of...Ch. 0.1 - Rewrite each of the following statements using the...Ch. 0.1 - Is it possible for both an implication and its...Ch. 0.1 - On page 4 of the text, we stated as more or less...Ch. 0.2 - If you want to prove a statement is true, it is...Ch. 0.2 - True/False Questions
2. If you want to prove a...Ch. 0.2 - The sentence A is a sufficient condition for Bis...Ch. 0.2 - True/False Questions
4. If A B, BC, CD, and CA...Ch. 0.2 - True/False Questions
5. If A B, BC, CD, and CA...Ch. 0.2 - The contrapositive of A Bis B A.Ch. 0.2 - A Bis true if and only if its contrapositive is...Ch. 0.2 - True/False Questions
8. is a rational number.
Ch. 0.2 - True/False Questions
9. 3.141 is a rational...Ch. 0.2 - True/False Questions
10. If and are irrational...Ch. 0.2 - True/False Questions
11. The statement “Every...Ch. 0.2 - The statement There exists an irrational number...Ch. 0.2 - What is the hypothesis and what is the conclusion...Ch. 0.2 - 2. In each part of Exercise 1, what condition is...Ch. 0.2 - Exhibit a counterexample to each of the following...Ch. 0.2 - Consider the following two statements: A: The...Ch. 0.2 - Determine whether the following implication is...Ch. 0.2 - State the converse of the implication in Exercise...Ch. 0.2 - 7. Answer Exercise 5 with replaced by .
Ch. 0.2 - Consider the statement A: If n is an integer, nn+1...Ch. 0.2 - 9. Let be an integer greater than 1 and consider...Ch. 0.2 - 10. A theorem in calculus states that every...Ch. 0.2 - 11. Let be an integer, . A certain mathematical...Ch. 0.2 - Consider the assertions A: For every real number...Ch. 0.2 - Answer Exercise 12 with A and B as follows. A:...Ch. 0.2 - 14. Answer true or false and supply a direct proof...Ch. 0.2 - Prove that n an even integer n2+3n is an even...Ch. 0.2 - 16. (a) Let be an integer. Show that either or...Ch. 0.2 - 17. Provide a direct proof that is odd for all...Ch. 0.2 - Prove that 2x24x+30 for any real number x.Ch. 0.2 - 19. Let and be integers. By examining the four...Ch. 0.2 - Let n be an integer. Prove that n2 is even if and...Ch. 0.2 - Prob. 21ECh. 0.2 - Prove that if n is an odd integer then there is an...Ch. 0.2 - 23. Prove that if is an odd integer, there is an...Ch. 0.2 - 24. Prove that there exists no smallest positive...Ch. 0.2 - 25. Let be the product of positive integers and ....Ch. 0.2 - 26. (For students who have studied linear algebra)...Ch. 0.2 - 27. (a) Suppose and are integers such that . Prove...Ch. 0.2 - Suppose a and b are integers such that a+b+ab=0....Ch. 0.2 - Suppose a is an irrational number. Prove that 1a...Ch. 0.2 - 30. Suppose that is a rational number and that is...Ch. 0.2 - Prob. 31ECh. 0.2 - 32. Find a proof or exhibit a counterexample to...Ch. 0.2 - Prob. 33ECh. 0.2 - Prob. 34ECh. 0.2 - Prob. 35ECh. 0.2 - Prob. 36ECh. 0.2 - Prob. 37ECh. 0.2 - Prove that there exist irrational numbers a and b...Ch. 0 - State, with a reason, whether each of the...Ch. 0 - Prob. 2RECh. 0 - 3. Write down the converse, the contrapositive and...Ch. 0 - Prob. 4RECh. 0 - Prob. 5RECh. 0 - Prob. 6RECh. 0 - Prob. 7RECh. 0 - Prob. 8RECh. 0 - 9. Let be an integer. Prove that is odd if and...Ch. 0 - Give a direct proof of the fact that a25a+6 is...Ch. 0 - Prob. 11RECh. 0 - Prob. 12RECh. 0 - 13. Prove, by way of contradiction, that if is a...Ch. 0 - Prob. 14RECh. 0 - Prob. 15RECh. 0 - Prob. 16RECh. 0 - Prob. 17RECh. 0 - Prob. 18RECh. 0 - Each of the integers 31, 331, 3331, 33331, 333331,...
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