College Mathematics for Trades and Technologies (10th Edition) (What's New in Trade Math)
10th Edition
ISBN: 9780134690339
Author: Cheryl Cleaves, Margie Hobbs
Publisher: PEARSON
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Chapter 10.3, Problem 17E
To determine
To solve: The system of equations
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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
We consider a 4-dimensional stock price model given (under P) by
dẴ₁ = µ· Xt dt + йt · ΣdŴt
where (W) is an n-dimensional Brownian motion,
π = (0.02, 0.01, -0.02, 0.05),
0.2
0
0
0
0.3
0.4
0
0
Σ=
-0.1
-4a За
0
0.2
0.4 -0.1 0.2)
and a E R. We assume that ☑0 = (1, 1, 1, 1) and that the interest rate on the market is r = 0.02.
(a) Give a condition on a that would make stock #3 be the one with largest volatility.
(b) Find the diversification coefficient for this portfolio as a function of a.
(c) Determine the maximum diversification coefficient d that you could reach by varying the
value of a?
2
Chapter 10 Solutions
College Mathematics for Trades and Technologies (10th Edition) (What's New in Trade Math)
Ch. 10.1 - Is the point (−1, 6) on the graph of the equation...Ch. 10.1 - Prob. 1ECh. 10.1 - Prob. 2ECh. 10.1 - Solve the systems of equations by graphing. See...Ch. 10.1 - Prob. 4ECh. 10.1 - Prob. 5ECh. 10.1 - Prob. 6ECh. 10.1 - Prob. 7ECh. 10.1 - Solve the systems of equations by graphing. See...Ch. 10.1 - Prob. 9E
Ch. 10.1 - Prob. 10ECh. 10.1 - Prob. 11ECh. 10.1 - Prob. 12ECh. 10.1 - Prob. 13ECh. 10.1 - Solve the systems of equations by graphing. See...Ch. 10.1 - Prob. 15ECh. 10.1 - Prob. 16ECh. 10.1 - Prob. 17ECh. 10.1 - Prob. 18ECh. 10.1 - Prob. 19ECh. 10.1 - Prob. 20ECh. 10.1 - Solve the systems of equations by graphing. See...Ch. 10.1 - Graph each system of inequalities and shade the...Ch. 10.1 - Prob. 23ECh. 10.1 - Prob. 24ECh. 10.1 - Prob. 25ECh. 10.1 - Prob. 26ECh. 10.1 - Graph each system of inequalities and shade the...Ch. 10.2 - Does 5x − 2y = 8 make a true statement when x = −2...Ch. 10.2 - Prob. 2LCCh. 10.2 - Prob. 1ECh. 10.2 - Prob. 2ECh. 10.2 - Prob. 3ECh. 10.2 - Prob. 4ECh. 10.2 - Prob. 5ECh. 10.2 - Prob. 6ECh. 10.2 - Prob. 7ECh. 10.2 - Solve the systems of equations using the addition...Ch. 10.2 - Prob. 9ECh. 10.2 - Solve the systems of equations using the addition...Ch. 10.2 - Prob. 11ECh. 10.2 - Prob. 12ECh. 10.2 - Prob. 13ECh. 10.2 - Solve the systems of equations using the addition...Ch. 10.2 - Prob. 15ECh. 10.2 - Prob. 16ECh. 10.2 - Prob. 17ECh. 10.2 - Prob. 18ECh. 10.2 - Prob. 19ECh. 10.2 - Solve the systems of equations using the addition...Ch. 10.2 - Prob. 21ECh. 10.2 - Prob. 22ECh. 10.2 - Solve the systems of equations using the addition...Ch. 10.2 - Prob. 24ECh. 10.2 - Prob. 25ECh. 10.2 - Prob. 26ECh. 10.2 - Prob. 27ECh. 10.2 - Prob. 28ECh. 10.2 - Prob. 29ECh. 10.2 - See Example 5.
Ch. 10.3 - Multiply
5(12 − 3y)
Ch. 10.3 - Prob. 2LCCh. 10.3 - Prob. 1ECh. 10.3 - Prob. 2ECh. 10.3 - Prob. 3ECh. 10.3 - Prob. 4ECh. 10.3 - Prob. 5ECh. 10.3 - Prob. 6ECh. 10.3 - Prob. 7ECh. 10.3 - Prob. 8ECh. 10.3 - Prob. 9ECh. 10.3 - Prob. 10ECh. 10.3 - Prob. 11ECh. 10.3 - Prob. 12ECh. 10.3 - Solve the systems of equations using the...Ch. 10.3 - Prob. 14ECh. 10.3 - Prob. 15ECh. 10.3 - Solve the systems of equations using the...Ch. 10.3 - Prob. 17ECh. 10.3 - Solve the systems of equations using the...Ch. 10.3 - Prob. 19ECh. 10.3 - Solve the systems of equations using the...Ch. 10.3 - Prob. 21ECh. 10.4 - Is (3.7, 5.2) a solution for the equation
0.4x =...Ch. 10.4 - Solve the problems using systems of equations with...Ch. 10.4 - Prob. 2ECh. 10.4 - Prob. 3ECh. 10.4 - Prob. 4ECh. 10.4 - BUS A college bookstore received a partial...Ch. 10.4 - Prob. 6ECh. 10.4 - Prob. 7ECh. 10.4 - Prob. 8ECh. 10.4 - A consumer received two 1-yr loans totaling...Ch. 10.4 - Prob. 10ECh. 10.4 - Prob. 11ECh. 10.4 - a private airplane flew 420 mi in 3 h with the...Ch. 10.4 - Prob. 13ECh. 10.4 - Prob. 14ECh. 10.4 - Prob. 15ECh. 10.4 - Prob. 16ECh. 10.4 - a plant nursery purchased holly shrubs that cost...Ch. 10.4 - CON A mortar mix contains five times as much sand...Ch. 10 - Prob. 1RECh. 10 - Prob. 2RECh. 10 - Prob. 3RECh. 10 - Prob. 4RECh. 10 - Prob. 5RECh. 10 - Prob. 6RECh. 10 - Prob. 7RECh. 10 - Prob. 8RECh. 10 - Prob. 9RECh. 10 - Prob. 10RECh. 10 - Prob. 11RECh. 10 - Prob. 12RECh. 10 - Prob. 13RECh. 10 - Prob. 14RECh. 10 - Prob. 15RECh. 10 - Prob. 16RECh. 10 - Prob. 17RECh. 10 - Prob. 18RECh. 10 - Prob. 19RECh. 10 - Prob. 20RECh. 10 - Prob. 21RECh. 10 - Prob. 22RECh. 10 - Prob. 23RECh. 10 - Prob. 24RECh. 10 - Prob. 25RECh. 10 - Prob. 26RECh. 10 - Prob. 27RECh. 10 - Prob. 28RECh. 10 - Prob. 29RECh. 10 - Prob. 30RECh. 10 - Prob. 31RECh. 10 - Prob. 32RECh. 10 - Prob. 33RECh. 10 - Prob. 34RECh. 10 - Prob. 35RECh. 10 - Prob. 36RECh. 10 - Prob. 37RECh. 10 - Prob. 38RECh. 10 - Prob. 39RECh. 10 - Prob. 40RECh. 10 - Prob. 41RECh. 10 - Prob. 42RECh. 10 - Prob. 43RECh. 10 - Prob. 44RECh. 10 - Prob. 45RECh. 10 - Prob. 46RECh. 10 - Prob. 47RECh. 10 - Prob. 48RECh. 10 - Prob. 49RECh. 10 - Prob. 50RECh. 10 - Prob. 51RECh. 10 - Prob. 52RECh. 10 - Prob. 53RECh. 10 - Prob. 54RECh. 10 - Prob. 55RECh. 10 - Prob. 56RECh. 10 - Prob. 57RECh. 10 - Prob. 58RECh. 10 - Prob. 59RECh. 10 - Prob. 60RECh. 10 - Prob. 61RECh. 10 - Prob. 62RECh. 10 - Prob. 63RECh. 10 - Prob. 64RECh. 10 - Prob. 65RECh. 10 - Prob. 66RECh. 10 - Prob. 67RECh. 10 - Prob. 68RECh. 10 - Prob. 69RECh. 10 - Prob. 70RECh. 10 - Prob. 1CACh. 10 - Prob. 2CACh. 10 - Prob. 3CACh. 10 - Prob. 4CACh. 10 - Prob. 5CACh. 10 - Prob. 6CACh. 10 - Prob. 7CACh. 10 - Prob. 8CACh. 10 - Prob. 9CACh. 10 - Prob. 10CACh. 10 - Prob. 1PTCh. 10 - Prob. 2PTCh. 10 - Prob. 3PTCh. 10 - Prob. 4PTCh. 10 - Prob. 5PTCh. 10 - Prob. 6PTCh. 10 - Prob. 7PTCh. 10 - Prob. 8PTCh. 10 - Prob. 9PTCh. 10 - Prob. 10PTCh. 10 - Prob. 11PTCh. 10 - Prob. 12PTCh. 10 - Prob. 13PTCh. 10 - Prob. 14PTCh. 10 - Prob. 15PTCh. 10 - Prob. 16PTCh. 10 - Prob. 17PTCh. 10 - Prob. 18PTCh. 10 - Prob. 19PTCh. 10 - Prob. 20PTCh. 10 - Prob. 21PTCh. 10 - Prob. 22PTCh. 10 - Prob. 23PTCh. 10 - Prob. 24PTCh. 10 - Prob. 25PTCh. 10 - Prob. 1CPTCh. 10 - Prob. 2CPTCh. 10 - Prob. 3CPTCh. 10 - Prob. 4CPTCh. 10 - Prob. 5CPTCh. 10 - Prob. 6CPTCh. 10 - Prob. 7CPTCh. 10 - Prob. 8CPTCh. 10 - Prob. 9CPTCh. 10 - Prob. 10CPTCh. 10 - Prob. 11CPTCh. 10 - Prob. 12CPTCh. 10 - Prob. 13CPTCh. 10 - Prob. 14CPTCh. 10 - Prob. 15CPTCh. 10 - Prob. 16CPTCh. 10 - Prob. 17CPTCh. 10 - Prob. 18CPTCh. 10 - Prob. 19CPTCh. 10 - Prob. 20CPTCh. 10 - Prob. 21CPTCh. 10 - Prob. 22CPTCh. 10 - Prob. 23CPTCh. 10 - Prob. 24CPTCh. 10 - Prob. 25CPTCh. 10 - Prob. 26CPTCh. 10 - Prob. 27CPTCh. 10 - Prob. 28CPTCh. 10 - Prob. 29CPTCh. 10 - Prob. 30CPT
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