Discrete Mathematics With Applications
Discrete Mathematics With Applications
5th Edition
ISBN: 9781337694193
Author: EPP, Susanna S.
Publisher: Cengage Learning,
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Chapter 12.2, Problem 43ES
To determine

To design a finite-state automaton to accept the languagedefined by the regular expression for all the words that are written in lower case letters contain exactly one of the vowels a, e, i, o, or u.

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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 12 Solutions

Discrete Mathematics With Applications

Ch. 12.1 - Prob. 11TYCh. 12.1 - Prob. 12TYCh. 12.1 - Prob. 1ESCh. 12.1 - Prob. 2ESCh. 12.1 - Prob. 3ESCh. 12.1 - In 4—6, describe L1L2,L1L2, and (L1L2)*for the...Ch. 12.1 - Prob. 5ESCh. 12.1 - Prob. 6ESCh. 12.1 - Prob. 7ESCh. 12.1 - Prob. 8ESCh. 12.1 - In 7—9, add parentheses to emphasize the order of...Ch. 12.1 - Prob. 10ESCh. 12.1 - In 10—12, use the rules about order of precedence...Ch. 12.1 - Prob. 12ESCh. 12.1 - In 13—15, use set notation to derive the language...Ch. 12.1 - Prob. 14ESCh. 12.1 - Prob. 15ESCh. 12.1 - Prob. 16ESCh. 12.1 - In 16—18, write five strings that belong to the...Ch. 12.1 - Prob. 18ESCh. 12.1 - Prob. 19ESCh. 12.1 - Prob. 20ESCh. 12.1 - In 19—21, use words to describe the language...Ch. 12.1 - Prob. 22ESCh. 12.1 - In 22—24, indicate whether the given strings...Ch. 12.1 - Prob. 24ESCh. 12.1 - Prob. 25ESCh. 12.1 - Prob. 26ESCh. 12.1 - In 25—27, find a regular expression that defines...Ch. 12.1 - Let r, s, and t be regular expressions over...Ch. 12.1 - Prob. 29ESCh. 12.1 - Prob. 30ESCh. 12.1 - Prob. 31ESCh. 12.1 - In 31—39, write a regular expression to define the...Ch. 12.1 - Prob. 33ESCh. 12.1 - Prob. 34ESCh. 12.1 - Prob. 35ESCh. 12.1 - Prob. 36ESCh. 12.1 - Prob. 37ESCh. 12.1 - Prob. 38ESCh. 12.1 - Prob. 39ESCh. 12.1 - Prob. 40ESCh. 12.1 - Write a regular expression to define the set of...Ch. 12.2 - The five objects that make up a finite-state...Ch. 12.2 - The next-state table for an automaton shows the...Ch. 12.2 - In the annotated next-state table, the initial...Ch. 12.2 - A string w consisting of input symbols is accepted...Ch. 12.2 - The language accepted by a finite-state automaton...Ch. 12.2 - If N is the next-stale function for a finite-state...Ch. 12.2 - One part of Kleene’s theorem says that given any...Ch. 12.2 - The second part of Kleene’s theorem says that...Ch. 12.2 - A regular language is .__________Ch. 12.2 - Given the language consisting of all strings of...Ch. 12.2 - Find the state of the vending machine in Example...Ch. 12.2 - Prob. 2ESCh. 12.2 - Prob. 3ESCh. 12.2 - Prob. 4ESCh. 12.2 - Prob. 5ESCh. 12.2 - In 2—7, a finite-state automaton is given by a...Ch. 12.2 - In 2—7, a finite-state automaton is given by a...Ch. 12.2 - In 8 and 9, a finite-state automaton is given by...Ch. 12.2 - In 8 and 9, a finite-state automaton is given by...Ch. 12.2 - A finite-state automaton A given by the transition...Ch. 12.2 - A finite-state automaton A given by the transition...Ch. 12.2 - Prob. 12ESCh. 12.2 - Consider again the finite-state automaton of...Ch. 12.2 - In each of 14—19, (a) find the language accepted...Ch. 12.2 - Prob. 15ESCh. 12.2 - Prob. 16ESCh. 12.2 - Prob. 17ESCh. 12.2 - Prob. 18ESCh. 12.2 - Prob. 19ESCh. 12.2 - In each of 20—28, (a) design an automaton with the...Ch. 12.2 - Prob. 21ESCh. 12.2 - Prob. 22ESCh. 12.2 - Prob. 23ESCh. 12.2 - Prob. 24ESCh. 12.2 - Prob. 25ESCh. 12.2 - Prob. 26ESCh. 12.2 - In each of 20—28, (a) design an automaton with the...Ch. 12.2 - Prob. 28ESCh. 12.2 - Prob. 29ESCh. 12.2 - Prob. 30ESCh. 12.2 - In 29—47, design a finite-state automaton to...Ch. 12.2 - Prob. 32ESCh. 12.2 - Prob. 33ESCh. 12.2 - Prob. 34ESCh. 12.2 - In 29—47, design a finite-state automaton to...Ch. 12.2 - Prob. 36ESCh. 12.2 - Prob. 37ESCh. 12.2 - Prob. 38ESCh. 12.2 - Prob. 39ESCh. 12.2 - Prob. 40ESCh. 12.2 - Prob. 41ESCh. 12.2 - Prob. 42ESCh. 12.2 - Prob. 43ESCh. 12.2 - Prob. 44ESCh. 12.2 - Prob. 45ESCh. 12.2 - In 29—47, design a finite-state automaton to...Ch. 12.2 - Prob. 47ESCh. 12.2 - Prob. 48ESCh. 12.2 - Write a computer algorithm that simulates the...Ch. 12.2 - Prob. 50ESCh. 12.2 - Prob. 51ESCh. 12.2 - Prob. 52ESCh. 12.2 - Prob. 53ESCh. 12.2 - a. Let A be a finite-state automaton with input...Ch. 12.3 - Given a finite-state automaton A with...Ch. 12.3 - Prob. 2TYCh. 12.3 - Given states s and t in a finite-state automaton...Ch. 12.3 - Prob. 4TYCh. 12.3 - Prob. 5TYCh. 12.3 - Consider the finite-state automaton A given by the...Ch. 12.3 - Consider the finite-state automaton A given by the...Ch. 12.3 - Consider the finite-state automaon A discussed in...Ch. 12.3 - Consider the finite-state automaton given by the...Ch. 12.3 - Consider the finite-state automaton given by the...Ch. 12.3 - Consider the finite-state automaton given by the...Ch. 12.3 - Prob. 7ESCh. 12.3 - Prob. 8ESCh. 12.3 - Prob. 9ESCh. 12.3 - Prob. 10ESCh. 12.3 - Prob. 11ESCh. 12.3 - Prob. 12ESCh. 12.3 - Prob. 13ESCh. 12.3 - Prob. 14ESCh. 12.3 - Prob. 15ESCh. 12.3 - Prob. 16ESCh. 12.3 - Prob. 17ESCh. 12.3 - Prob. 18ES
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