Essentials Of Statistics For Business & Economics
9th Edition
ISBN: 9780357045435
Author: David R. Anderson, Dennis J. Sweeney, Thomas A. Williams, Jeffrey D. Camm, James J. Cochran
Publisher: South-Western College Pub
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Textbook Question
Chapter 12.1, Problem 1E
Use the sample data below to test the hypotheses
H0: p1 = p2 = p3
Ha: Not all population proportions are equal where pi is the population proportion of Yes responses for population i. Using a .05 level of significance, what is the p-value and what is your conclusion?
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Does there appear to be a positive or negative relationship between price and screen size? Use a scatter plot to examine the relationship. How to take snapshots: if you use a MacBook, press Command+ Shift+4 to take snapshots. If you are using Windows, use the Snipping Tool to take snapshots.
Question 1: Determine and interpret the correlation coefficient between the two variables. In your interpretation, discuss the direction of the relationship (positive, negative, or zero relationship). Also discuss the strength of the relationship.
Value of correlation coefficient:
Direction of the relationship (positive, negative, or zero relationship):
Strength of the relationship (strong/moderate/weak):
Question 2: Estimate the relationship between screen size and price using a simple linear regression model and interpret the estimated coefficients. In your interpretation, tell the dollar amount by which price will change for each unit of increase in screen size. (The answer for the…
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?
Chapter 12 Solutions
Essentials Of Statistics For Business & Economics
Ch. 12.1 - Use the sample data below to test the...Ch. 12.1 - reconsider the observed frequencies in exercise 1...Ch. 12.1 - Late Flight Comparison Across Airlines. The sample...Ch. 12.1 - Electronic Component Supplier Quality Comparison....Ch. 12.1 - Research Classification of Higher Education. The...Ch. 12.1 - Error Rates in Tax Preparation. A tax preparation...Ch. 12.1 - Use of Social Media. Social media is becoming more...Ch. 12.1 - Supplier Quality: Three Inspection Outcomes. The...Ch. 12.2 - The following table contains observed frequencies...Ch. 12.2 - The following table contains observed frequencies...
Ch. 12.2 - Airline Ticket Purchases for Domestic and...Ch. 12.2 - Hiring and Firing Plans at Private and Public...Ch. 12.2 - Generational Differences in Workplace Attitudes....Ch. 12.2 - Vehicle Quality Ratings. A J. D. Power and...Ch. 12.2 - Company Reputation and Management Quality Survey....Ch. 12.2 - Academy Awards and Movie Fan Sentiment. The race...Ch. 12.2 - Amount of Sleep by Age Group. The National Sleep...Ch. 12.2 - Prob. 18ECh. 12.3 - Test the following hypotheses by using the 2...Ch. 12.3 - The following data are believed to have come from...Ch. 12.3 - Television Audiences Across Networks. During the...Ch. 12.3 - M&M Candy Colors. Mars, Inc. manufactures M&M’s,...Ch. 12.3 - Shareholder Scoreboard Ratings. The Wall Street...Ch. 12.3 - Traffic Accidents by Day of Week. The National...Ch. 12.3 - Daily High Temperatures. Bob Feller, an Iowa...Ch. 12.3 - Weekly Demand at Whole Foods Market. The manager...Ch. 12 - Where Millionaires Live in America. In a 2018...Ch. 12 - Quality Comparison Across Production Shifts....Ch. 12 - Ratings of Most-Visited Art Museums. As listed by...Ch. 12 - Pace-of-Life Preference By Gender. A Pew Research...Ch. 12 - Church Attendance by Age Group. The Barna Group...Ch. 12 - Ambulance Calls by Day of Week. An ambulance...Ch. 12 - Attitudes Toward New Nuclear Power Plants. A...Ch. 12 - America’s Favorite Sports. The Harris Poll tracks...Ch. 12 - Best-Selling Small Cars in America. Based on 2017...Ch. 12 - Prob. 36SECh. 12 - Testing If Daily Sales Obey a Binomial Probability...Ch. 12 - In a study conducted by Zogby International for...Ch. 12 - Six months ago, Fuentes Salty Snacks, Inc., added...Ch. 12 - Fresno Board Games manufactures and sells several...
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