EP USING+UNDERSTANDING MATH.-MYMATHLAB
6th Edition
ISBN: 9780321922205
Author: Bennett
Publisher: PEARSON CO
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Chapter 11.B, Problem 39E
Art and Mathematics. Visit a website devoted to connections between art and mathematics. Write a one- to two-page essay that describes one or more connections between mathematics and art.
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Question 4. We consider a CRR model with So == 5 and up and down factors u = 1.03 and
d = 0.96. We consider the interest rate r = 4% (over one period). Is this a suitable CRR
model? (Explain your answer.)
Question 3. We want to price a put option with strike price K and expiration T. Two financial
advisors estimate the parameters with two different statistical methods: they obtain the same
return rate μ, the same volatility σ, but the first advisor has interest r₁ and the second advisor
has interest rate r2 (r1>r2). They both use a CRR model with the same number of periods to
price the option. Which advisor will get the larger price? (Explain your answer.)
Question 5. We consider a put option with strike price K and expiration T. This option is
priced using a 1-period CRR model. We consider r > 0, and σ > 0 very large. What is the
approximate price of the option? In other words, what is the limit of the price of the option as
σ∞. (Briefly justify your answer.)
Chapter 11 Solutions
EP USING+UNDERSTANDING MATH.-MYMATHLAB
Ch. 11.A - Prob. 1QQCh. 11.A - Prob. 2QQCh. 11.A - Prob. 3QQCh. 11.A - Prob. 4QQCh. 11.A - Prob. 5QQCh. 11.A - Prob. 6QQCh. 11.A - Prob. 7QQCh. 11.A - Prob. 8QQCh. 11.A - Prob. 9QQCh. 11.A - Prob. 10QQ
Ch. 11.A - Prob. 1ECh. 11.A - 2. Define fundamental frequency, harmonic, and...Ch. 11.A - 3. What is a 12-tone scale? How are the...Ch. 11.A - 4. Explain how the notes of the scale are...Ch. 11.A - Prob. 5ECh. 11.A - Prob. 6ECh. 11.A - Prob. 7ECh. 11.A - Prob. 8ECh. 11.A - Prob. 9ECh. 11.A - Prob. 10ECh. 11.A - Prob. 11ECh. 11.A - Prob. 12ECh. 11.A - Octaves. Starting with a tone having a frequency...Ch. 11.A - Notes of a Scale. Find the frequencies of the 12...Ch. 11.A - Prob. 15ECh. 11.A - 16. The Dilemma of Temperament. Start at middle A,...Ch. 11.A - Exponential Growth and Scales. Starting at middle...Ch. 11.A - 18. Exponential Growth and Scales. Starting at...Ch. 11.A - 19. Exponential Decay and Scales. What is the...Ch. 11.A - Prob. 20ECh. 11.A - Prob. 21ECh. 11.A - Prob. 22ECh. 11.A - Mathematics and Music. Visit a website devoted to...Ch. 11.A - Mathematics and Composers. Many musical composers,...Ch. 11.A - Prob. 25ECh. 11.A - Prob. 26ECh. 11.A - Digital Processing. A variety of apps and software...Ch. 11.A - Prob. 28ECh. 11.B - Prob. 1QQCh. 11.B - 2. All lines that are parallel in a real scene...Ch. 11.B - 3. The Last Supper in Figure 11.6. Which of the...Ch. 11.B - Prob. 4QQCh. 11.B - Prob. 5QQCh. 11.B - Prob. 6QQCh. 11.B - Prob. 7QQCh. 11.B - Prob. 8QQCh. 11.B - Prob. 9QQCh. 11.B - Prob. 10QQCh. 11.B - Prob. 1ECh. 11.B - Prob. 2ECh. 11.B - Prob. 3ECh. 11.B - Prob. 4ECh. 11.B - Prob. 5ECh. 11.B - 6. Briefly explain why there are only three...Ch. 11.B - 7. Briefly explain why more tilings are possible...Ch. 11.B - 8. What is the difference between periodic and...Ch. 11.B - Prob. 9ECh. 11.B - Prob. 10ECh. 11.B - Prob. 11ECh. 11.B - Prob. 12ECh. 11.B - Prob. 13ECh. 11.B - Prob. 14ECh. 11.B - Vanishing Points. Consider the simple drawing of a...Ch. 11.B - Correct Perspective. Consider the two boxes shown...Ch. 11.B - Drawing with Perspective. Make the square, circle,...Ch. 11.B - Drawing MATH with Perspective. Make the letters M,...Ch. 11.B - 19. The drawing in Figure 11.34 shows two poles...Ch. 11.B - Two Vanishing Points. Figure 11.35 shows a road...Ch. 11.B - Prob. 21ECh. 11.B - Prob. 22ECh. 11.B - Prob. 23ECh. 11.B - Prob. 24ECh. 11.B - Prob. 25ECh. 11.B - Prob. 26ECh. 11.B - Prob. 27ECh. 11.B - Prob. 28ECh. 11.B - Prob. 29ECh. 11.B - Prob. 30ECh. 11.B - 30-31 : Tilings from Translating and Reflecting...Ch. 11.B - 32-33: Tilings from Quadrilaterals. Make a tiling...Ch. 11.B - Tilings from Quadrilaterals. Make a tiling from...Ch. 11.B - Prob. 34ECh. 11.B - Prob. 35ECh. 11.B - Prob. 36ECh. 11.B - Prob. 37ECh. 11.B - Prob. 38ECh. 11.B - Art and Mathematics. Visit a website devoted to...Ch. 11.B - 40. Art Museums. Choose an art museum, and study...Ch. 11.B - Prob. 41ECh. 11.B - Penrose Tilings. Learn more about the nature and...Ch. 11.B - Prob. 43ECh. 11.C - Prob. 1QQCh. 11.C - 2. Which of the following is not a characteristic...Ch. 11.C - 3. If a 1-foot line segment is divided according...Ch. 11.C - 4. To make a golden rectangle, you should
a. a...Ch. 11.C - Prob. 5QQCh. 11.C - Prob. 6QQCh. 11.C - Suppose you start with a golden rectangle and cut...Ch. 11.C - Prob. 8QQCh. 11.C - Prob. 9QQCh. 11.C - Prob. 10QQCh. 11.C - Prob. 1ECh. 11.C - How is a golden rectangle formed?Ch. 11.C - What evidence suggests that the golden ratio and...Ch. 11.C - Prob. 4ECh. 11.C - 5. What is the Fibonacci sequence?
Ch. 11.C - 6. What is the connection between the Fibonacci...Ch. 11.C - 7. Maria cut her 4-foot walking stick into two...Ch. 11.C - Prob. 8ECh. 11.C - Prob. 9ECh. 11.C - Prob. 10ECh. 11.C - Prob. 11ECh. 11.C - Prob. 12ECh. 11.C - Prob. 13ECh. 11.C - Prob. 14ECh. 11.C - Prob. 15ECh. 11.C - Prob. 16ECh. 11.C - Prob. 17ECh. 11.C - 18. Everyday Golden Rectangles. Find at least...Ch. 11.C - 19. Finding . The property that defines the golden...Ch. 11.C - 20. Properties of
a. Enter into your calculator....Ch. 11.C - Prob. 21ECh. 11.C - The Lucas Sequence. A sequence called the Lucas...Ch. 11.C - Prob. 23ECh. 11.C - The Golden Navel. An Old theory claims that, on...Ch. 11.C - Prob. 25ECh. 11.C - Prob. 26ECh. 11.C - Prob. 27ECh. 11.C - Prob. 28ECh. 11.C - Golden Controversies. Many websites are devoted to...Ch. 11.C - 30. Fibonacci Numbers. Learn more about Fibonacci...
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- Question 6. You collect daily data for the stock of a company Z over the past 4 months (i.e. 80 days) and calculate the log-returns (yk)/(-1. You want to build a CRR model for the evolution of the stock. The expected value and standard deviation of the log-returns are y = 0.06 and Sy 0.1. The money market interest rate is r = 0.04. Determine the risk-neutral probability of the model.arrow_forwardSeveral markets (Japan, Switzerland) introduced negative interest rates on their money market. In this problem, we will consider an annual interest rate r < 0. We consider a stock modeled by an N-period CRR model where each period is 1 year (At = 1) and the up and down factors are u and d. (a) We consider an American put option with strike price K and expiration T. Prove that if <0, the optimal strategy is to wait until expiration T to exercise.arrow_forwardWe consider an N-period CRR model where each period is 1 year (At = 1), the up factor is u = 0.1, the down factor is d = e−0.3 and r = 0. We remind you that in the CRR model, the stock price at time tn is modeled (under P) by Sta = So exp (μtn + σ√AtZn), where (Zn) is a simple symmetric random walk. (a) Find the parameters μ and σ for the CRR model described above. (b) Find P Ste So 55/50 € > 1). StN (c) Find lim P 804-N (d) Determine q. (You can use e- 1 x.) Ste (e) Find Q So (f) Find lim Q 004-N StN Soarrow_forward
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