EBK EXCURSIONS IN MODERN MATHEMATICS
9th Edition
ISBN: 8220103632034
Author: Tannenbaum
Publisher: PEARSON
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Question
Chapter 1, Problem 57E
To determine
To find:
The reason for the method of pairwise comparison satisfies the condorcet criterion.
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Students have asked these similar questions
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.)
Problem 4. Margrabe formula and the Greeks (20 pts)
In the homework, we determined the Margrabe formula for the price of an option allowing you to
swap an x-stock for a y-stock at time T. For stocks with initial values xo, yo, common volatility
σ and correlation p, the formula was given by
Fo=yo (d+)-x0Þ(d_),
where
In (±²
Ꭲ
d+
õ√T
and
σ = σ√√√2(1 - p).
дго
(a) We want to determine a "Greek" for ỡ on the option: find a formula for
θα
(b) Is
дго
θα
positive or negative?
(c) We consider a situation in which the correlation p between the two stocks increases: what
can you say about the price Fo?
(d) Assume that yo< xo and p = 1. What is the price of the option?
The Course Name Real Analysis please Solve questions by Real Analysis
Chapter 1 Solutions
EBK EXCURSIONS IN MODERN MATHEMATICS
Ch. 1 - Figure 1-8 shows the preference ballots for an...Ch. 1 - Figure 1-9 shows the preference ballots for an...Ch. 1 - An election is held to choose the Chair of the...Ch. 1 - The student body at Eureka High School is having...Ch. 1 - An election is held using the printed-names format...Ch. 1 - Prob. 6ECh. 1 - Prob. 7ECh. 1 - Table 1-30 shows a conventional preference...Ch. 1 - The Demublican Party is holding its annual...Ch. 1 - The Epicurean Society is holding its annual...
Ch. 1 - Table 1-31 shows the preference schedule for an...Ch. 1 - Table 1-32 shows the preference schedule for an...Ch. 1 - Table 1-33 shows the preference schedule for an...Ch. 1 - Table 1-34 shows the preference schedule for an...Ch. 1 - Table 1-35 shows the preference schedule for an...Ch. 1 - Table1-36 shows the preference schedule for an...Ch. 1 - Table 1-25 see Exercise 3 shows the preference...Ch. 1 - Table 1-26 see Exercise 4 shows the preference...Ch. 1 - Table 1-25 see Exercise 3 shows the preference...Ch. 1 - Table 1-26 see Exercise 4 shows the preference...Ch. 1 - Table 1-31see Exercise 11 shows the preference...Ch. 1 - Table 1-32 see Exercise 12 shows the preference...Ch. 1 - Table 1-33 see Exercise 13 shows the preference...Ch. 1 - Table 1-34 Number of voters 6 6 5 4 3 3 1st A B B...Ch. 1 - Table 1-35 Percent of voters 24 23 19 14 11 9 1st...Ch. 1 - Table 1-36 Percent of voters 25 21 15 12 10 9 8...Ch. 1 - The Heisman Award. Table 1-37 shows the results...Ch. 1 - The 2014 AL Cy Young Award. Table 1-38 shows the...Ch. 1 - An election was held using the conventional Borda...Ch. 1 - Imagine that in the voting for the American League...Ch. 1 - Table 1-31 see Exercise 11 shows the preference...Ch. 1 - Table 1-32 see Exercise 12 shows the preference...Ch. 1 - Table1-33 Number of voters 6 5 4 2 2 2 2 1st C A B...Ch. 1 - Table 1-34 See Exercise 14 shows the preference...Ch. 1 - Table1-39_ shows the preference schedule for an...Ch. 1 - Table1-40_ shows the preference schedule for an...Ch. 1 - Table 1-35 see Exercise 15 shows the preference...Ch. 1 - Table 1-36 see Exercise 16 shows the preference...Ch. 1 - Top-Two Instant-Runoff Voting. Exercises 39 and 40...Ch. 1 - Top-Two Instant-Runoff Voting. Exercises 39 and 40...Ch. 1 - Table 1-31 see Exercise 11 shows the preference...Ch. 1 - Table 1-32 See Exercise 12 shows the preference...Ch. 1 - Table 1-33 see Exercise 13 shows the preference...Ch. 1 - Table 1-34 see Exercise 14 shows the preference...Ch. 1 - Table 1-35 see Exercise 15 shows the preference...Ch. 1 - Table 1-36 see Exercise 16 shows the preference...Ch. 1 - Table 1-39 see Exercise 35 shows the preference...Ch. 1 - Table1-40 see Exercise36 shows the preference...Ch. 1 - An election with five candidates A, B. C, D, and E...Ch. 1 - An election with six candidates A, B, C, D, E, and...Ch. 1 - Use Table 1-41 to illustrate why the Borda count...Ch. 1 - Use Table 1-32 to illustrate why the...Ch. 1 - Use Table 1-42 to illustrate why the plurality...Ch. 1 - Use the Math Club election Example 1.10 to...Ch. 1 - Use Table 1-43 to illustrate why the...Ch. 1 - Explain why the method of pair wise comparisons...Ch. 1 - Prob. 57ECh. 1 - Explain why the plurality method satisfies the...Ch. 1 - Explain why the Borda count method satisfies the...Ch. 1 - Explain why the method of pairwise comparisons...Ch. 1 - Two-candidate elections. Explain why when there...Ch. 1 - Alternative version of the Borda count. The...Ch. 1 - Reverse Borda count. Another commonly used...Ch. 1 - The average ranking. The average ranking of a...Ch. 1 - The 2006 Associated Press college football poll....Ch. 1 - The Pareto criterion. The following fairness...Ch. 1 - The 2003-2004 NBA Rookie of the Year vote. Each...Ch. 1 - Top-two IRV is a variation of the...Ch. 1 - The Coombs method. This method is just like the...Ch. 1 - Bucklin voting. This method was used in the early...Ch. 1 - The 2016 NBA MVP vote. The National Basketball...Ch. 1 - The Condorcet loser criterion. If there is a...Ch. 1 - Consider the following fairness criterion: If a...Ch. 1 - Suppose that the following was proposed as a...Ch. 1 - Consider a modified Borda count where a...
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