Mathematical Methods in the Physical Sciences
3rd Edition
ISBN: 9780471198260
Author: Mary L. Boas
Publisher: Wiley, John & Sons, Incorporated
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Textbook Question
Chapter 12.23, Problem 1MP
Use the generating function (5.1) to find the normalizing factor for Legendre polynomials. Hint: Square equation (5.2) with
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Chapter 12 Solutions
Mathematical Methods in the Physical Sciences
Ch. 12.1 - Solve the following differential equations by...Ch. 12.1 - Solve the following differential equations by...Ch. 12.1 - Solve the following differential equations by...Ch. 12.1 - Solve the following differential equations by...Ch. 12.1 - Solve the following differential equations by...Ch. 12.1 - Solve the following differential equations by...Ch. 12.1 - Solve the following differential equations by...Ch. 12.1 - Solve the following differential equations by...Ch. 12.1 - Solve the following differential equations by...Ch. 12.1 - Solve the following differential equations by...
Ch. 12.2 - Using (2.6) and (2.7) and the requirement that...Ch. 12.2 - Show that Pl(1)=(1)l. Hint: When is Pl(x) an even...Ch. 12.2 - Computer plot graphs of Pl(x) for l=0,1,2,3,4, and...Ch. 12.2 - Use the method of reduction of order [Chapter 8,...Ch. 12.3 - By Leibniz' rule, write the formula for...Ch. 12.3 - Use Problem 1 to find the following derivatives....Ch. 12.3 - Use Problem 1 to find the following derivatives....Ch. 12.3 - Use Problem 1 to find the following derivatives....Ch. 12.3 - Use Problem 1 to find the following derivatives....Ch. 12.3 - Verify Problem 1. Hints: One method is to use...Ch. 12.4 - Verify equations (4.4) and (4.5). (4.4)...Ch. 12.4 - Show that Pl(1)=1, with P1(x) given by (4.1), in...Ch. 12.4 - Find P0(x),P1(x),P2(x),P3(x), and P4(x) from...Ch. 12.4 - Show that 11xmPl(x)dx=0 if ml. Hint: Use...Ch. 12.5 - Find P3(x) by getting one more term in the...Ch. 12.5 - Verify (5.5) using (5.1). (5.1)...Ch. 12.5 - Use the recursion relation (5.8a) and the values...Ch. 12.5 - Show from (5.1) that (xh)x=hh. Substitute the...Ch. 12.5 - Differentiate the recursion relation (5.8a) and...Ch. 12.5 - From (5.8b) and (5.8c), obtain (5.8d) and (5.8f)....Ch. 12.5 - Write (5.8c) with l replaced by l+1 and use it to...Ch. 12.5 - Express each of the following polynomials as...Ch. 12.5 - Express each of the following polynomials as...Ch. 12.5 - Express each of the following polynomials as...Ch. 12.5 - Express each of the following polynomials as...Ch. 12.5 - Express each of the following polynomials as...Ch. 12.5 - Express each of the following polynomials as...Ch. 12.5 - Show that any polynomial of degree n can be...Ch. 12.5 - Expand the potential V=K/d in (5.11) in the...Ch. 12.6 - Show that if abA*(x)B(x)dx=0 [see (6.3)], then...Ch. 12.6 - Show that the functions einx/l,n=0,1,2,, are a set...Ch. 12.6 - Show that the functions x2 and sinx are orthogonal...Ch. 12.6 - Show that the functions f(x) and g(x) are...Ch. 12.6 - Evaluate 11P0(x)P2(x)dx to show that these...Ch. 12.6 - Show in two ways that Pl(x) and Pl(x) are...Ch. 12.6 - Show that the set of functions sinnx is not a...Ch. 12.6 - Show that the functions cosn+12x,n=0,1,2,, are...Ch. 12.6 - Show in two ways that 11P2n+1(x)dx=0.Ch. 12.7 - By a method similar to that we used to show that...Ch. 12.7 - Following the method in (7.2) to (7.5), show that...Ch. 12.7 - Use Problem 4.4 to show that 11Pm(x)Pl(x)dx=0 if...Ch. 12.7 - Use equation (7.6) to show that 11Pl(x)Pl1(x)dx=0....Ch. 12.7 - Show that 11Pl(x)dx=0,l0. Hint: Consider...Ch. 12.7 - Show that P1(x) is orthogonal to Pl(x)2 on (1,1)....Ch. 12.8 - Find the norm of each of the following functions...Ch. 12.8 - Find the norm of each of the following functions...Ch. 12.8 - Find the norm of each of the following functions...Ch. 12.8 - Find the norm of each of the following functions...Ch. 12.8 - Find the norm of each of the following functions...Ch. 12.8 - Give another proof of (8.1) as follows. Multiply...Ch. 12.8 - Using (8.1), write the first four normalized...Ch. 12.9 - Expand the following functions in Legendre series....Ch. 12.9 - Expand the following functions in Legendre series....Ch. 12.9 - Expand the following functions in Legendre series....Ch. 12.9 - Expand the following functions in Legendre series....Ch. 12.9 - Expand the following functions in Legendre series....Ch. 12.9 - Expand the following functions in Legendre series....Ch. 12.9 - Expand the following functions in Legendre series....Ch. 12.9 - Expand the following functions in Legendre series....Ch. 12.9 - Expand the following functions in Legendre series....Ch. 12.9 - Expand each of the following polynomials in a...Ch. 12.9 - Expand each of the following polynomials in a...Ch. 12.9 - Expand each of the following polynomials in a...Ch. 12.9 - Find the best (in the least squares sense)...Ch. 12.9 - Find the best (in the least squares sense)...Ch. 12.9 - Find the best (in the least squares sense)...Ch. 12.9 - Prove the least squares approximation property of...Ch. 12.10 - Verify equations (10.3) and (10.4). (10.4)...Ch. 12.10 - The equation for the associated Legendre functions...Ch. 12.10 - Show that the functions Plm(x) for each m are a...Ch. 12.10 - Substitute the Pl(x) you found in Problems 4.3 or...Ch. 12.10 - Substitute the Pl(x) you found in Problems 4.3 or...Ch. 12.10 - Substitute the P1(x) you found in Problems 4.3 or...Ch. 12.10 - Show that...Ch. 12.10 - Write (10.7) with m replaced by m; then use...Ch. 12.10 - Use Problem 7 to show that...Ch. 12.10 - Derive (10.8) as follows: Multiply together the...Ch. 12.11 - Finish the solution of equation (11.2) when s=2....Ch. 12.11 - Solve the following differential equations by the...Ch. 12.11 - Solve the following differential equations by the...Ch. 12.11 - Solve the following differential equations by the...Ch. 12.11 - Solve the following differential equations by the...Ch. 12.11 - Solve the following differential equations by the...Ch. 12.11 - Solve the following differential equations by the...Ch. 12.11 - Solve the following differential equations by the...Ch. 12.11 - Solve the following differential equations by the...Ch. 12.11 - Solve the following differential equations by the...Ch. 12.11 - Solve the following differential equations by the...Ch. 12.11 - Solve the following differential equations by the...Ch. 12.11 - Consider each of the following problems as...Ch. 12.11 - Solve y=y by the Frobenius method. You should find...Ch. 12.12 - Show by the ratio test that the infinite series...Ch. 12.12 - Use (12.9) to show that: J2(x)=(2/x)J1(x)J0(x)Ch. 12.12 - Use (12.9) to show that: J1(x)+J3(x)=(4/x)J2(x)Ch. 12.12 - Use (12.9) to show that: (d/dx)J0(x)=J1(x)Ch. 12.12 - Use (12.9) to show that: (d/dx)xJ1(x)=xJ0(x)Ch. 12.12 - Use (12.9) to show that: J0(x)J2(x)=2(d/dx)J1(x)Ch. 12.12 - Use (12.9) to show that: limx0J1(x)/x=12Ch. 12.12 - Use (12.9) to show that: limx0x3/2J3/2(x)=312/...Ch. 12.12 - Use (12.9) to show that: x/2J1/2(x)=sinxCh. 12.13 - Using equations (12.9) and (13.1), write out the...Ch. 12.13 - Show that, in general for integral...Ch. 12.13 - Use equations (12.9) and (13.1) to show that:...Ch. 12.13 - Use equations (12.9) and (13.1) to show that:...Ch. 12.13 - Use equations (12.9) and (13.1) to show that:...Ch. 12.13 - Use equations (12.9) and (13.1) to show that: Show...Ch. 12.14 - By computer, plot graphs of Jp(x) for p=0,1,2,3,...Ch. 12.14 - From the graphs in Problem 1, read approximate...Ch. 12.14 - By computer, plot N0(x) for x from 0 to 15, and...Ch. 12.14 - From the graphs in Problem 3, read approximate...Ch. 12.14 - By computer, plot xJ1/2(x) for x from 0 to 4. Do...Ch. 12.14 - By computer, find 30 zeros of J0 and note that the...Ch. 12.15 - Prove equation (15.2) by a method similar to the...Ch. 12.15 - Solve equations (15.1) and (15.2) for Jp+1(x) and...Ch. 12.15 - Carry out the differentiation in equations (15.1)...Ch. 12.15 - Use equations (15.1) to (15.5) to do Problems 12.2...Ch. 12.15 - Using equations (15.4) and (15.5), show that...Ch. 12.15 - As in Problem 5, show that Jp1(x)=Jp+1(x) at every...Ch. 12.15 - (a) Using (15.2), show that 0J1(x)dx=J0(x)0=1. (b)...Ch. 12.15 - From equation (15.4), show that...Ch. 12.15 - Use L23 and L32 of the Laplace Transform Table...Ch. 12.16 - Find the solutions of the following differential...Ch. 12.16 - Find the solutions of the following differential...Ch. 12.16 - Find the solutions of the following differential...Ch. 12.16 - Find the solutions of the following differential...Ch. 12.16 - Find the solutions of the following differential...Ch. 12.16 - Find the solutions of the following differential...Ch. 12.16 - Find the solutions of the following differential...Ch. 12.16 - Find the solutions of the following differential...Ch. 12.16 - Find the solutions of the following differential...Ch. 12.16 - Find the solutions of the following differential...Ch. 12.16 - Find the solutions of the following differential...Ch. 12.16 - Find the solutions of the following differential...Ch. 12.16 - Verify by direct substitution that the text...Ch. 12.16 - Use (16.5) to write the solutions of the following...Ch. 12.16 - Use ( 16.5 ) to write the solutions of the...Ch. 12.16 - Use (16.5) to write the solutions of the following...Ch. 12.16 - Use (16.5) to write the solutions of the following...Ch. 12.17 - Write the solutions of Problem 16.1 as spherical...Ch. 12.17 - From Problem (12.9) J1/2(x)=2/xsinx. Use (15.2) to...Ch. 12.17 - From Problems 13.3 and 13.5, Y1/2(x)=2/x cos x. As...Ch. 12.17 - Using (17.3) and the results stated in Problems 2...Ch. 12.17 - Show from (17.4) that hn(1)(x)=ixn1xddxneixx.Ch. 12.17 - Using (16.1) and (17.4) show that the spherical...Ch. 12.17 - (a) Solve the differential equation xy=y using...Ch. 12.17 - Using (16.1) and (16.2), verify that (a) the...Ch. 12.17 - Using (17.3) and (15.1) to (15.5), find the...Ch. 12.17 - Computer plot (a) I0(x),I1(x),I2(x), from x=0 to...Ch. 12.17 - From (17.4), show that hn(1)(ix)=ex/x.Ch. 12.17 - Use the Section 15 recursion relations and (17.4)...Ch. 12.17 - Use the Section 15 recursion relations and (17.4)...Ch. 12.17 - Use the Section 15 recursion relations and (17.4)...Ch. 12.17 - Use the Section 15 recursion relations and (17.4)...Ch. 12.17 - Use the Section 15 recursion relations and (17.4)...Ch. 12.18 - Verify equation (18.3) Hint: From equation (18.2),...Ch. 12.18 - Solve equation (18.3) to get equation (18.4).Ch. 12.18 - Prove Jp(x)Jp(x)Jp(x)Jp(x)=2xsinp as follows:...Ch. 12.18 - Using equation (13.3) and Problem 3, show that...Ch. 12.18 - Use the recursion relations of Section 15 (for N s...Ch. 12.18 - For the initial conditions =0,=0, show that the...Ch. 12.18 - Prob. 7PCh. 12.18 - Find =ddt=ddududldldt either from equations...Ch. 12.18 - Consider the shortening pendulum problem. Follow...Ch. 12.18 - The differential equation for transverse...Ch. 12.18 - A straight wire clamped vertically at its lower...Ch. 12.19 - Prove equation (19.10) in the following way. First...Ch. 12.19 - Given that J3/2(x)=2xsinxxcosx, use (19.10) to...Ch. 12.19 - Use (17.4) and (19.10) to write the orthogonality...Ch. 12.19 - Define Jp(z) for complex z by the power series...Ch. 12.19 - We obtained (19.10) for Jp(x),p0. It is, however,...Ch. 12.19 - By Problem 5,01xN1/2(x)N1/2(x)dx=0 if and are...Ch. 12.20 - Use the table above to evaluate the following...Ch. 12.20 - Use the table above to evaluate the following...Ch. 12.20 - Use the table above to evaluate the following...Ch. 12.20 - Use the table above to evaluate the following...Ch. 12.20 - Use the table above to evaluate the following...Ch. 12.20 - Use the table above to evaluate the following...Ch. 12.20 - Use the table above and the definitions in Section...Ch. 12.20 - Use the table above and the definitions in Section...Ch. 12.20 - Use the table above and the definitions in Section...Ch. 12.20 - Use the table above and the definitions in Section...Ch. 12.20 - To study the approximations in the table, computer...Ch. 12.20 - To study the approximations in the table, computer...Ch. 12.20 - To study the approximations in the table, computer...Ch. 12.20 - To study the approximations in the table, computer...Ch. 12.20 - To study the approximations in the table, computer...Ch. 12.20 - To study the approximations in the table, computer...Ch. 12.20 - To study the approximations in the table, computer...Ch. 12.20 - To study the approximations in the table, computer...Ch. 12.20 - Computer plot on the same axes several Ip(x)...Ch. 12.20 - As in Problem 19, study the Kp(x) functions. It is...Ch. 12.21 - For Problems 1 to 4, find one (simple) solution of...Ch. 12.21 - For Problems 1 to 4, find one (simple) solution of...Ch. 12.21 - For Problems 1 to 4, find one (simple) solution of...Ch. 12.21 - For Problems 1 to 4, find one (simple) solution of...Ch. 12.21 - Solve the differential equations in Problems 5 to...Ch. 12.21 - Solve the differential equations in Problems 5 to...Ch. 12.21 - Solve the differential equations in Problems 5 to...Ch. 12.21 - Solve the differential equations in Problems 5 to...Ch. 12.21 - Solve the differential equations in Problems 5 to...Ch. 12.21 - Solve the differential equations in Problems 5 to...Ch. 12.21 - For the differential equation in Problem 2, verify...Ch. 12.21 - Verify that the differential equation x4y+y=0 is...Ch. 12.21 - Verify that the the differential equation in...Ch. 12.22 - Verify equations (22.2), (22.3), (22.4), and...Ch. 12.22 - Solve (22.9) to get (22.10). If needed, see...Ch. 12.22 - Show that ex2/2Dex2/2f(x)=(Dx)f(x). Now set...Ch. 12.22 - Using (22.12) find the Hermite polynomials given...Ch. 12.22 - By power series, solve the Hermite differential...Ch. 12.22 - Substitute yn=ex2/2Hn(x) into (22.1) to show that...Ch. 12.22 - Prove that the functions Hn(x) are orthogonal on...Ch. 12.22 - In the generating function (22.16), expand the...Ch. 12.22 - Use the generating function to prove the recursion...Ch. 12.22 - Evaluate the normalization integral in (22.15)....Ch. 12.22 - Show that we have solved the following eigenvalue...Ch. 12.22 - Using Leibniz' rule (Section 3), carry out the...Ch. 12.22 - Using (22.19) verify (22.20) and also find L3(x)...Ch. 12.22 - Show that y=Ln(x) given in ( 22.18 ) satisfies (...Ch. 12.22 - Solve the Laguerre differential equation...Ch. 12.22 - Prove that the functions Ln(x) are orthogonal on...Ch. 12.22 - In (22.23), write the series for the exponential...Ch. 12.22 - Verify the recursion relations (22,24) as follows:...Ch. 12.22 - Evaluate the normalization integral in (22.22)....Ch. 12.22 - Using (22.25),(22.20), and Problem 13, find Lnk(x)...Ch. 12.22 - Verify that the polynomials Lnk(x) in ( 22.25 )...Ch. 12.22 - Verify that the polynomials given by (22.27) are...Ch. 12.22 - Verify the recursion relation relations (22.28) as...Ch. 12.22 - Show that the functions Lnk(x) are orthogonal on...Ch. 12.22 - Evaluate the normalization integrals ( 22.29 ) and...Ch. 12.22 - Solve the following eigenvalue problem (see end of...Ch. 12.22 - The functions which are of interest in the theory...Ch. 12.22 - Repeat Problem 27 for l=0,n=1,2,3.Ch. 12.22 - Show that Rp=pxD and Lp=px+D where D=d/dx, are...Ch. 12.22 - Find raising and lowering operators (see Problem...Ch. 12.23 - Use the generating function (5.1) to find the...Ch. 12.23 - Use the generating function to show that...Ch. 12.23 - Use (5.78e) to show that...Ch. 12.23 - Obtain the binomial coefficient result in Problem...Ch. 12.23 - Show that 0n(2l+1)Pl(x)=Pn(x)+Pn+1(x). Hint: Use...Ch. 12.23 - Using (10.6), (5.8), and Problem 2, evaluate...Ch. 12.23 - Show that, for l0,0bP(x)dx=0 if a and b are any...Ch. 12.23 - Show that (2l+1)x21Pl(x)=l(l+1)Pl+1(x)Pl1(x)....Ch. 12.23 - Evaluate 11xPi(x)Pn(x)dx,nl. Hint: Write (5.8a)...Ch. 12.23 - Use the recursion relations of Section 15 (and, as...Ch. 12.23 - Use the recursion relations of Section 15 (and, as...Ch. 12.23 - Use the recursion relations of Section 15 (and, as...Ch. 12.23 - Wre the recursion relations of Section 15 (and, as...Ch. 12.23 - Use the recursion relations of Section 15 (and, as...Ch. 12.23 - Use the result of Problem 18.4 and equations...Ch. 12.23 - Use (15.2) repeatedly to show that...Ch. 12.23 - Let be the first positive zero of J1(x) and let n...Ch. 12.23 - (a) Make the change of variables z=ex in the...Ch. 12.23 - (a) The generating function for Bessel functions...Ch. 12.23 - In the generating function equation of Problem 19,...Ch. 12.23 - In the generating function equation, Problem 19,...Ch. 12.23 - In the cos(xsin) series of Problem 20, let =0, and...Ch. 12.23 - Solve by power series 1x2yxy+n2y=0. The polynomial...Ch. 12.23 - (a) The following differential equation is often...Ch. 12.23 - In Problem 22.26, replace x by x/n in the y...Ch. 12.23 - Verify Bauers formula eixw=0(2l+1)iiji(x)Pl(w) as...Ch. 12.23 - Show that R=lx1x2D and L=lx+1x2D, where D=d/dx,...Ch. 12.23 - Show that the functions J0(t) and J0(t) are...Ch. 12.23 - Show that the Fourier cosine transform (Chapter 7,...Ch. 12.23 - Use the results of Chapter 7, Problems 12.18 and...
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- As discussed in Section 8.3, the Markowitz model uses the variance of the portfolio as the measure of risk. However, variance includes deviations both below and above the mean return. Semivariance includes only deviations below the mean and is considered by many to be a better measure of risk. (a) Develop a model that minimizes semivariance for the Hauck Financial data given in the file HauckData with a required return of 10%. Assume that the five planning scenarios in the Hauck Financial Services model are equally likely to occur. Hint: Modify model (8.10)–(8.19). Define a variable ds for each scenario and let ds ≥ R − Rs with ds ≥ 0. Then make the objective function: Min 1 5 5 s = 1 ds2. Let FS = proportion of portfolio invested in the foreign stock mutual fund IB = proportion of portfolio invested in the intermediate-term bond fund LG = proportion of portfolio invested in the large-cap growth fund LV = proportion of portfolio invested in the large-cap value fund…arrow_forwardCalculus lll May I please have the blank lines completed, and final statement defined as a result? Thank you for the support!arrow_forwardFor each month of the year, Taylor collected the average high temperatures in Jackson, Mississippi. He used the data to create the histogram shown. Which set of data did he use to create the histogram? A 55, 60, 64, 72, 73, 75, 77, 81, 83, 91, 91, 92\ 55,\ 60,\ 64,\ 72,\ 73,\ 75,\ 77,\ 81,\ 83,\ 91,\ 91,\ 92 55, 60, 64, 72, 73, 75, 77, 81, 83, 91, 91, 92 B 55, 57, 60, 65, 70, 71, 78, 79, 85, 86, 88, 91\ 55,\ 57,\ 60,\ 65,\ 70,\ 71,\ 78,\ 79,\ 85,\ 86,\ 88,\ 91 55, 57, 60, 65, 70, 71, 78, 79, 85, 86, 88, 91 C 55, 60, 63, 64, 65, 71, 83, 87, 88, 88, 89, 93\ 55,\ 60,\ 63,\ 64,\ 65,\ 71,\ 83,\ 87,\ 88,\ 88,\ 89,\ 93 55, 60, 63, 64, 65, 71, 83, 87, 88, 88, 89, 93 D 55, 58, 60, 66, 68, 75, 77, 82, 86, 89, 91, 91\ 55,\ 58,\ 60,\ 66,\ 68,\ 75,\ 77,\ 82,\ 86,\ 89,\ 91,\ 91 55, 58, 60, 66, 68, 75, 77, 82, 86, 89, 91, 91arrow_forward
- 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.)arrow_forwardProblem 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?arrow_forwardThe Course Name Real Analysis please Solve questions by Real Analysisarrow_forward
- 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? 2arrow_forwardQuestion 1. Your manager asks you to explain why the Black-Scholes model may be inappro- priate for pricing options in practice. Give one reason that would substantiate this claim? Question 2. We consider stock #1 and stock #2 in the model of Problem 2. Your manager asks you to pick only one of them to invest in based on the model provided. Which one do you choose and why ? Question 3. Let (St) to be an asset modeled by the Black-Scholes SDE. Let Ft be the price at time t of a European put with maturity T and strike price K. Then, the discounted option price process (ert Ft) t20 is a martingale. True or False? (Explain your answer.) Question 4. You are considering pricing an American put option using a Black-Scholes model for the underlying stock. An explicit formula for the price doesn't exist. In just a few words (no more than 2 sentences), explain how you would proceed to price it. Question 5. We model a short rate with a Ho-Lee model drt = ln(1+t) dt +2dWt. Then the interest rate…arrow_forwardIn 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.)arrow_forward
- 3. Consider the polynomial equation 6-iz+7z² - iz³ +z = 0 for which the roots are 3i, -2i, -i, and i. (a) Verify the relations between this roots and the coefficients of the polynomial. (b) Find the annulus region in which the roots lie.arrow_forwardThe managing director of a consulting group has the accompanying monthly data on total overhead costs and professional labor hours to bill to clients. Complete parts a through c. Question content area bottom Part 1 a. Develop a simple linear regression model between billable hours and overhead costs. Overhead Costsequals=212495.2212495.2plus+left parenthesis 42.4857 right parenthesis42.485742.4857times×Billable Hours (Round the constant to one decimal place as needed. Round the coefficient to four decimal places as needed. Do not include the $ symbol in your answers.) Part 2 b. Interpret the coefficients of your regression model. Specifically, what does the fixed component of the model mean to the consulting firm? Interpret the fixed term, b 0b0, if appropriate. Choose the correct answer below. A. The value of b 0b0 is the predicted billable hours for an overhead cost of 0 dollars. B. It is not appropriate to interpret b 0b0, because its value…arrow_forward3. Consider the polynomial equation 6-iz+7z2-iz³ +z = 0 for which the roots are 3i, -2i, -i, and i. (a) Verify the relations between this roots and the coefficients of the polynomial. (b) Find the annulus region in which the roots lie.arrow_forward
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