DIFF EQUAT W/BOUNDAR >PRINT UPGRADE<
9th Edition
ISBN: 9781337810906
Author: ZILL
Publisher: CENGAGE L
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Chapter 1, Problem 7RE
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To match: The differential equation
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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
DIFF EQUAT W/BOUNDAR >PRINT UPGRADE<
Ch. 1.1 - In Problems 18 state the order of the given...Ch. 1.1 - In Problems 18 state the order of the given...Ch. 1.1 - In Problems 18 state the order of the given...Ch. 1.1 - In Problems 18 state the order of the given...Ch. 1.1 - In Problems 18 state the order of the given...Ch. 1.1 - In Problems 18 state the order of the given...Ch. 1.1 - In Problems 18 state the order of the given...Ch. 1.1 - In Problems 18 state the order of the given...Ch. 1.1 - In Problems 9 and 10 determine whether the given...Ch. 1.1 - In Problems 9 and 10 determine whether the given...
Ch. 1.1 - In Problems 1114 verify that the indicated...Ch. 1.1 - In Problems 1114 verify that the indicated...Ch. 1.1 - In Problems 1114 verify that the indicated...Ch. 1.1 - In Problems 1114 verify that the indicated...Ch. 1.1 - In Problems 1518 verify that the indicated...Ch. 1.1 - In Problems 1518 verify that the indicated...Ch. 1.1 - In Problems 1518 verify that the indicated...Ch. 1.1 - In Problems 1518 verify that the indicated...Ch. 1.1 - In Problems 19 and 20 verify that the indicated...Ch. 1.1 - In Problems 19 and 20 verify that the indicated...Ch. 1.1 - In Problems 2124 verify that the indicated family...Ch. 1.1 - In Problems 2124 verify that the indicated family...Ch. 1.1 - In Problems 2124 verify that the indicated family...Ch. 1.1 - In Problems 2124 verify that the indicated family...Ch. 1.1 - In Problems 2528 use (12) to verify that the...Ch. 1.1 - In Problems 2528 use (12) to verify that the...Ch. 1.1 - In Problems 2528 use (12) to verify that the...Ch. 1.1 - Prob. 28ECh. 1.1 - Verify that the piecewise-defined function...Ch. 1.1 - In Example 7 we saw that y=1(x)=25x2 and...Ch. 1.1 - In Problems 31-34 find values of m so that the...Ch. 1.1 - In Problems 31-34 find values of m so that the...Ch. 1.1 - In Problems 31-34 find values of m so that the...Ch. 1.1 - In Problems 31-34 find values of m so that the...Ch. 1.1 - In Problems 35 and 36 find values of m so that the...Ch. 1.1 - In Problems 35 and 36 find values of m so that the...Ch. 1.1 - In Problems 3740 use the concept that y = c, x ...Ch. 1.1 - In Problems 3740 use the concept that y = c, x ...Ch. 1.1 - In Problems 3740 use the concept that y = c, x ...Ch. 1.1 - In Problems 3740 use the concept that y = c, x ...Ch. 1.1 - Prob. 41ECh. 1.1 - In Problems 41 and 42 verify that the indicated...Ch. 1.1 - Make up a differential equation that does not...Ch. 1.1 - Make up a differential equation that you feel...Ch. 1.1 - What function do you know from calculus is such...Ch. 1.1 - What function (or functions) do you know from...Ch. 1.1 - The function y = sin x is an explicit solution of...Ch. 1.1 - Discuss why it makes intuitive sense to presume...Ch. 1.1 - Prob. 49ECh. 1.1 - Prob. 50ECh. 1.1 - The graphs of members of the one-parameter family...Ch. 1.1 - Prob. 52ECh. 1.1 - Prob. 53ECh. 1.1 - Prob. 54ECh. 1.1 - Prob. 55ECh. 1.1 - Prob. 56ECh. 1.1 - The normal form (5) of an nth-order differential...Ch. 1.1 - Find a linear second-order differential equation...Ch. 1.1 - Consider the differential equation dy/dx = ex2....Ch. 1.1 - Consider the differential equation dy/dx = 5 y....Ch. 1.1 - Prob. 61ECh. 1.1 - Consider the differential equation y = y2 + 4. (a)...Ch. 1.2 - In Problems 1 and 2, y = 1/(1 + c1ex) is a...Ch. 1.2 - In Problems 1 and 2, y = 1/(1 + c1ex) is a...Ch. 1.2 - In Problems 36, y = 1/(x2 + c) is a one-parameter...Ch. 1.2 - In Problems 36, y = 1/(x2 + c) is a one-parameter...Ch. 1.2 - In Problems 36, y = 1/(x2 + c) is a one-parameter...Ch. 1.2 - In Problems 36, y = 1/(x2 + c) is a one-parameter...Ch. 1.2 - In Problems 710, x = c1 cos t + c2 sin t is a...Ch. 1.2 - In Problems 710, x = c1 cos t + c2 sin t is a...Ch. 1.2 - In Problems 710, x = c1 cos t + c2 sin t is a...Ch. 1.2 - In Problems 710, x = c1 cos t + c2 sin t is a...Ch. 1.2 - In Problems 1114, y = c1ex + c2ex is a...Ch. 1.2 - In Problems 1114, y = c1ex + c2ex is a...Ch. 1.2 - In Problems 1114, y = c1ex + c2ex is a...Ch. 1.2 - In Problems 1114, y = c1ex + c2ex is a...Ch. 1.2 - In Problems 15 and 16 determine by inspection at...Ch. 1.2 - In Problems 15 and 16 determine by inspection at...Ch. 1.2 - In Problems 1724 determine a region of the...Ch. 1.2 - In Problems 1724 determine a region of the...Ch. 1.2 - In Problems 1724 determine a region of the...Ch. 1.2 - Prob. 20ECh. 1.2 - In Problems 1724 determine a region of the...Ch. 1.2 - Prob. 22ECh. 1.2 - Prob. 23ECh. 1.2 - In Problems 1724 determine a region of the...Ch. 1.2 - In Problems 2528 determine whether Theorem 1.2.1...Ch. 1.2 - In Problems 2528 determine whether Theorem 1.2.1...Ch. 1.2 - Prob. 27ECh. 1.2 - In Problems 2528 determine whether Theorem 1.2.1...Ch. 1.2 - (a) By inspection find a one-parameter family of...Ch. 1.2 - (a) Verify that y = tan (x + c) is a one-parameter...Ch. 1.2 - (a) Verify that y = 1 /(x + c) is a one-parameter...Ch. 1.2 - Prob. 32ECh. 1.2 - (a) Verify that 3x2 y2 = c is a one-parameter...Ch. 1.2 - Prob. 34ECh. 1.2 - In Problems 3538 the graph of a member of a family...Ch. 1.2 - In Problems 3538 the graph of a member of a family...Ch. 1.2 - In Problems 3538 the graph of a member of a family...Ch. 1.2 - In Problems 3538 the graph of a member of a family...Ch. 1.2 - Prob. 39ECh. 1.2 - In Problems 3944, y = c1 cos 2x + c2 sin 2x is a...Ch. 1.2 - In Problems 3944, y = c1 cos 2x + c2 sin 2x is a...Ch. 1.2 - In Problems 3944, y = c1 cos 2x + c2 sin 2x is a...Ch. 1.2 - Prob. 43ECh. 1.2 - In Problems 3944, y = c1 cos 2x + c2 sin 2x is a...Ch. 1.2 - Prob. 45ECh. 1.2 - In Problems 45 and 46 use Problem 55 in Exercises...Ch. 1.2 - Consider the initial-value problem y = x 2y, y(0)...Ch. 1.2 - Show that x=0y1t3+1dt is an implicit solution of...Ch. 1.2 - Prob. 49ECh. 1.2 - Prob. 50ECh. 1.2 - Prob. 51ECh. 1.3 - Under the same assumptions that underlie the model...Ch. 1.3 - The population model given in (1) fails to take...Ch. 1.3 - Using the concept of net rate introduced in...Ch. 1.3 - Modify the model in Problem 3 for net rate at...Ch. 1.3 - A cup of coffee cools according to Newtons law of...Ch. 1.3 - The ambient temperature Tm in (3) could be a...Ch. 1.3 - Suppose a student carrying a flu virus returns to...Ch. 1.3 - At a time denoted as t = 0 a technological...Ch. 1.3 - Prob. 9ECh. 1.3 - Prob. 10ECh. 1.3 - What is the differential equation in Problem 10,...Ch. 1.3 - Prob. 12ECh. 1.3 - Suppose water is leaking from a tank through a...Ch. 1.3 - The right-circular conical tank shown in Figure...Ch. 1.3 - A series circuit contains a resistor and an...Ch. 1.3 - A series circuit contains a resistor and a...Ch. 1.3 - For high-speed motion through the airsuch as the...Ch. 1.3 - A cylindrical barrel s feet in diameter of weight...Ch. 1.3 - After a mass m is attached to a spring, it...Ch. 1.3 - In Problem 19, what is a differential equation for...Ch. 1.3 - Prob. 21ECh. 1.3 - In Problem 21, the mass m(t) is the sum of three...Ch. 1.3 - By Newtons universal law of gravitation the...Ch. 1.3 - Suppose a hole is drilled through the center of...Ch. 1.3 - Prob. 25ECh. 1.3 - Prob. 26ECh. 1.3 - Infusion of a Drug A drug is infused into a...Ch. 1.3 - Tractrix A motorboat starts at the origin and...Ch. 1.3 - Reflecting surface Assume that when the plane...Ch. 1.3 - Prob. 30ECh. 1.3 - Prob. 31ECh. 1.3 - Prob. 32ECh. 1.3 - Prob. 33ECh. 1.3 - Prob. 34ECh. 1.3 - Prob. 35ECh. 1.3 - Prob. 36ECh. 1.3 - Let It snow The snowplow problem is a classic and...Ch. 1.3 - Population Dynamics Suppose that dP/dt = 0.15 P(t)...Ch. 1.3 - Prob. 39ECh. 1.3 - Prob. 40ECh. 1 - In Problems 1 and 2 fill in the blank and then...Ch. 1 - In Problems 1 and 2 fill in the blank and then...Ch. 1 - In Problems 3 and 4 fill in the blank and then...Ch. 1 - Prob. 4RECh. 1 - Prob. 5RECh. 1 - In Problems 5 and 6 compute y and y and then...Ch. 1 - Prob. 7RECh. 1 - Prob. 8RECh. 1 - Prob. 9RECh. 1 - Prob. 10RECh. 1 - Prob. 11RECh. 1 - Prob. 12RECh. 1 - Prob. 13RECh. 1 - Prob. 14RECh. 1 - In Problems 15 and 16 interpret each statement as...Ch. 1 - Prob. 16RECh. 1 - Prob. 17RECh. 1 - (a) Verify that the one-parameter family y2 2y =...Ch. 1 - Prob. 19RECh. 1 - Suppose that y(x) denotes a solution of the...Ch. 1 - Prob. 21RECh. 1 - Prob. 22RECh. 1 - Prob. 23RECh. 1 - Prob. 24RECh. 1 - Prob. 25RECh. 1 - Prob. 26RECh. 1 - Prob. 27RECh. 1 - Prob. 28RECh. 1 - Prob. 29RECh. 1 - In Problems 2730 use (12) of Section 1.1 to verify...Ch. 1 - Prob. 31RECh. 1 - Prob. 32RECh. 1 - Prob. 33RECh. 1 - Prob. 34RECh. 1 - Prob. 35RECh. 1 - Prob. 36RECh. 1 - In Problems 3538, y = c1e3x + c2ex 2x is a...Ch. 1 - Prob. 38RECh. 1 - Prob. 39RECh. 1 - Prob. 40RE
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