Mathematical Statistics with Applications
7th Edition
ISBN: 9780495110811
Author: Dennis Wackerly, William Mendenhall, Richard L. Scheaffer
Publisher: Cengage Learning
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Chapter 11.14, Problem 85E
a.
To determine
Check whether there is sufficient evidence that at least one of the independent variables contributes significant information for the prediction of selling price.
b.
To determine
Compute the value of
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solving problem 1
select bmw stock. you can assume the price of the stock
This problem is based on the fundamental option pricing formula for the continuous-time
model developed in class, namely the value at time 0 of an option with maturity T and
payoff F is given by:
We consider the two options below:
Fo=
-rT
= e
Eq[F].
1
A. An option with which you must buy a share of stock at expiration T = 1 for strike
price K = So.
B. An option with which you must buy a share of stock at expiration T = 1 for strike
price K given by
T
K =
T
St dt.
(Note that both options can have negative payoffs.) We use the continuous-time Black-
Scholes model to price these options. Assume that the interest rate on the money market
is r.
(a) Using the fundamental option pricing formula, find the price of option A. (Hint:
use the martingale properties developed in the lectures for the stock price process
in order to calculate the expectations.)
(b) Using the fundamental option pricing formula, find the price of option B.
(c) Assuming the interest rate is very small (r ~0), use Taylor…
Chapter 11 Solutions
Mathematical Statistics with Applications
Ch. 11.3 - If 0 and 1 are the least-squares estimates for the...Ch. 11.3 - Prob. 2ECh. 11.3 - Fit a straight line to the five data points in the...Ch. 11.3 - Auditors are often required to compare the audited...Ch. 11.3 - Prob. 5ECh. 11.3 - Applet Exercise Refer to Exercises 11.2 and 11.5....Ch. 11.3 - Prob. 7ECh. 11.3 - Laboratory experiments designed to measure LC50...Ch. 11.3 - Prob. 9ECh. 11.3 - Suppose that we have postulated the model...
Ch. 11.3 - Some data obtained by C.E. Marcellari on the...Ch. 11.3 - Processors usually preserve cucumbers by...Ch. 11.3 - J. H. Matis and T. E. Wehrly report the following...Ch. 11.4 - a Derive the following identity:...Ch. 11.4 - An experiment was conducted to observe the effect...Ch. 11.4 - Prob. 17ECh. 11.4 - Prob. 18ECh. 11.4 - A study was conducted to determine the effects of...Ch. 11.4 - Suppose that Y1, Y2,,Yn are independent normal...Ch. 11.4 - Under the assumptions of Exercise 11.20, find...Ch. 11.4 - Prob. 22ECh. 11.5 - Use the properties of the least-squares estimators...Ch. 11.5 - Do the data in Exercise 11.19 present sufficient...Ch. 11.5 - Use the properties of the least-squares estimators...Ch. 11.5 - Let Y1, Y2, . . . , Yn be as given in Exercise...Ch. 11.5 - Prob. 30ECh. 11.5 - Using a chemical procedure called differential...Ch. 11.5 - Prob. 32ECh. 11.5 - Prob. 33ECh. 11.5 - Prob. 34ECh. 11.6 - For the simple linear regression model Y = 0 + 1x...Ch. 11.6 - Prob. 36ECh. 11.6 - Using the model fit to the data of Exercise 11.8,...Ch. 11.6 - Refer to Exercise 11.3. Find a 90% confidence...Ch. 11.6 - Refer to Exercise 11.16. Find a 95% confidence...Ch. 11.6 - Refer to Exercise 11.14. Find a 90% confidence...Ch. 11.6 - Prob. 41ECh. 11.7 - Suppose that the model Y=0+1+ is fit to the n data...Ch. 11.7 - Prob. 43ECh. 11.7 - Prob. 44ECh. 11.7 - Prob. 45ECh. 11.7 - Refer to Exercise 11.16. Find a 95% prediction...Ch. 11.7 - Refer to Exercise 11.14. Find a 95% prediction...Ch. 11.8 - The accompanying table gives the peak power load...Ch. 11.8 - Prob. 49ECh. 11.8 - Prob. 50ECh. 11.8 - Prob. 51ECh. 11.8 - Prob. 52ECh. 11.8 - Prob. 54ECh. 11.8 - Prob. 55ECh. 11.8 - Prob. 57ECh. 11.8 - Prob. 58ECh. 11.8 - Prob. 59ECh. 11.8 - Prob. 60ECh. 11.9 - Refer to Example 11.10. Find a 90% prediction...Ch. 11.9 - Prob. 62ECh. 11.9 - Prob. 63ECh. 11.9 - Prob. 64ECh. 11.9 - Prob. 65ECh. 11.10 - Refer to Exercise 11.3. Fit the model suggested...Ch. 11.10 - Prob. 67ECh. 11.10 - Fit the quadratic model Y=0+1x+2x2+ to the data...Ch. 11.10 - The manufacturer of Lexus automobiles has steadily...Ch. 11.10 - a Calculate SSE and S2 for Exercise 11.4. Use the...Ch. 11.12 - Consider the general linear model...Ch. 11.12 - Prob. 72ECh. 11.12 - Prob. 73ECh. 11.12 - An experiment was conducted to investigate the...Ch. 11.12 - Prob. 75ECh. 11.12 - The results that follow were obtained from an...Ch. 11.13 - Prob. 77ECh. 11.13 - Prob. 78ECh. 11.13 - Prob. 79ECh. 11.14 - Prob. 80ECh. 11.14 - Prob. 81ECh. 11.14 - Prob. 82ECh. 11.14 - Prob. 83ECh. 11.14 - Prob. 84ECh. 11.14 - Prob. 85ECh. 11.14 - Prob. 86ECh. 11.14 - Prob. 87ECh. 11.14 - Prob. 88ECh. 11.14 - Refer to the three models given in Exercise 11.88....Ch. 11.14 - Prob. 90ECh. 11.14 - Prob. 91ECh. 11.14 - Prob. 92ECh. 11.14 - Prob. 93ECh. 11.14 - Prob. 94ECh. 11 - At temperatures approaching absolute zero (273C),...Ch. 11 - A study was conducted to determine whether a...Ch. 11 - Prob. 97SECh. 11 - Prob. 98SECh. 11 - Prob. 99SECh. 11 - Prob. 100SECh. 11 - Prob. 102SECh. 11 - Prob. 103SECh. 11 - An experiment was conducted to determine the...Ch. 11 - Prob. 105SECh. 11 - Prob. 106SECh. 11 - Prob. 107SE
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