MATLAB: An Introduction with Applications, 6th Edition: An Introduction with Applications
6th Edition
ISBN: 9781119385134
Author: Amos Gilat
Publisher: WILEY
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Chapter 1, Problem 25P
The voltage difference Vabbetween points a and b in the Wheatstone bride circuit is given by:
where c=R2/R1and d=R3/R4. Calculate the Vabif V=15V, R1=119.8O, R2=120.6 O, R3=121.2 O, and R4=119.3 O.
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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.)
Chapter 1 Solutions
MATLAB: An Introduction with Applications, 6th Edition: An Introduction with Applications
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Ch. 1 - Two trigonometric identities are given by: (a)...Ch. 1 - Define two variables: alpha =8, and beta = 6....Ch. 1 - Given: x2cosxdx=2xcosx+x22sinx . Use MATLAB to...Ch. 1 - A rectangular box has the dimensions shown. (a)...Ch. 1 - The are length of a segment of a parabola ABC is...Ch. 1 - The three shown circles, with radius 15 in., 10.5...Ch. 1 - A frustum of cone is filled with ice cream such...Ch. 1 - 18. In the triangle shown a =27 in., b 43 in.,...Ch. 1 - For the triangle shown, a = 72°, ß=43°, and its...Ch. 1 - The distance d from a point P (xp,yp,zp) to the...Ch. 1 - The perimeter of an ellipse can be approximated...Ch. 1 - A total of 4217 eggs have w be packed in boxes...Ch. 1 - A total of 777 people have to be transported using...Ch. 1 - Change the display to format long g. Assign the...Ch. 1 - The voltage difference Vabbetween points a and b...Ch. 1 - The current in a series RCL circuit is given by:...Ch. 1 - The monthly payment M of a mortgage P for n years...Ch. 1 - The number of permutations nProf taking r Objects...Ch. 1 - The number of combinations Cn,r of taking r...Ch. 1 - The equivalent resistance of two resistors R1and...Ch. 1 - The output voltage Voutin the circuit shown is...Ch. 1 - Radioactive decay of carbon-14 is used for...Ch. 1 - The greatest common divisor is the largest...Ch. 1 - The amount of energy E (in joules) that is...Ch. 1 - According to the Doppler effect of light, the...Ch. 1 - Newton’s law of cooling gives the temperature T(t)...Ch. 1 - The velocity v and the falling distance d as a...Ch. 1 - Use the Help Window to find a display format that...Ch. 1 - Gosper’s approximation for factorials is given by:...Ch. 1 - According to Newton’s law of universal...
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