Essentials of Statistics for the Behavioral Sciences
8th Edition
ISBN: 9781133956570
Author: Frederick J Gravetter, Larry B. Wallnau
Publisher: Cengage Learning
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Chapter 12.7, Problem 1LC
A researcher uses an independent-measures t test to evaluate the mean difference obtained in a research study, and obtains a t statistic of t = 3.00. If the researcher used an ANOVA to evaluate the results, then what F-ratio would be obtained?
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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.)
Chapter 12 Solutions
Essentials of Statistics for the Behavioral Sciences
Ch. 12.2 - Explain the difference between the testwise alpha...Ch. 12.2 - Prob. 2LCCh. 12.2 - Prob. 3LCCh. 12.2 - Prob. 4LCCh. 12.3 - Calculate SStotal, SSbetween, and SSwithin for the...Ch. 12.3 - A researcher reports an F-ratio with dfbetween = 3...Ch. 12.3 - Prob. 3LCCh. 12.4 - A researcher obtains F = 4.10 with df = 2, 14. Is...Ch. 12.4 - For an ANOVA evaluating the mean differences among...Ch. 12.5 - A researcher used ANOVA and computed F = 4.25 for...
Ch. 12.5 - Prob. 2LCCh. 12.6 - With k = 2 treatments, are post hoc tests...Ch. 12.6 - Prob. 2LCCh. 12.7 - A researcher uses an independent-measures t test...Ch. 12.7 - An ANOVA produces an F-ratio with df = 1, 34....Ch. 12 - Explain why the F-ratio is expected to be near...Ch. 12 - Several factors influence the size of the F-ratio....Ch. 12 - Why should you use ANOVA instead of several t...Ch. 12 - Posttests are done after an ANOVA. a. What is the...Ch. 12 - An independent-measures study comparing four...Ch. 12 - The following data summarize the results from an...Ch. 12 - For the preceding problem you should find that...Ch. 12 - The following data summarize the results from an...Ch. 12 - For the preceding problem you should find that...Ch. 12 - The following data summarize the results from an...Ch. 12 - Prob. 11PCh. 12 - The following values are from an...Ch. 12 - There is some evidence that high school students...Ch. 12 - A researcher reports an F-ratio with df = 2. 27...Ch. 12 - A research report from an independent-measures...Ch. 12 - The following summary table presents the results...Ch. 12 - A pharmaceutical company has developed a drug that...Ch. 12 - A developmental psychologist is examining the...Ch. 12 - The following data were obtained from an...Ch. 12 - The following values summarize the results from an...Ch. 12 - The following data are from an...Ch. 12 - One possible explanation for why some birds...Ch. 12 - There is some research indicating that college...Ch. 12 - New research suggests that watching television,...
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