Connect Plus Statistics Hosted by ALEKS Access Card 52 Weeks for Elementary Statistics: A Step-By-St
9th Edition
ISBN: 9781259198946
Author: Bluman, Allan
Publisher: McGraw-Hill Science/Engineerin
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Chapter 13, Problem 13.6.12RE
(a)
To determine
To state: The test hypotheses.
To identify: The claim for the given situation.
(b)
To determine
To find: The critical value.
(c)
To determine
To find: The test statistic value.
(d)
To determine
Whether the null hypothesis is rejected for the given situation.
(e)
To determine
To summarize: The results.
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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?
Chapter 13 Solutions
Connect Plus Statistics Hosted by ALEKS Access Card 52 Weeks for Elementary Statistics: A Step-By-St
Ch. 13.1 - The following table lists the percentages of...Ch. 13.1 - Exercises 131 1. What is meant by nonparametric...Ch. 13.1 - When should nonparametric statistics be used?Ch. 13.1 - Prob. 3ECh. 13.1 - List the disadvantages of nonparametric...Ch. 13.1 - Prob. 5ECh. 13.1 - Explain what is meant by the efficiency of a...Ch. 13.1 - Prob. 7ECh. 13.1 - Prob. 8ECh. 13.1 - Prob. 9E
Ch. 13.1 - Prob. 10ECh. 13.1 - Prob. 11ECh. 13.1 - Prob. 12ECh. 13.2 - Clean Air An environmentalist suggests that the...Ch. 13.2 - Exercises 132 1. Why is the sign test the simplest...Ch. 13.2 - Prob. 2ECh. 13.2 - Prob. 3ECh. 13.2 - Prob. 4ECh. 13.2 - For Exercises 5 through 20, perform these steps....Ch. 13.2 - Prob. 6ECh. 13.2 - AID: 1825 | 12/01/2018 7. Annual Incomes for Men...Ch. 13.2 - Weekly Earnings of Women According to the Womens...Ch. 13.2 - Prob. 9ECh. 13.2 - Prob. 10ECh. 13.2 - Prob. 11ECh. 13.2 - Deaths due to Severe Weather A meteorologist...Ch. 13.2 - Prob. 13ECh. 13.2 - Television Viewers A researcher read that the...Ch. 13.2 - Prob. 15ECh. 13.2 - Exam Scores A statistics professor wants to...Ch. 13.2 - Prob. 17ECh. 13.2 - Effects of a Pill on Appetite A researcher wishes...Ch. 13.2 - Prob. 19ECh. 13.2 - Routine Maintenance and Defective Parts A...Ch. 13.2 - Prob. 21ECCh. 13.2 - Prob. 22ECCh. 13.2 - Prob. 23ECCh. 13.2 - 1, 8, 2, 6, 10, 15, 24, 33, 56, 41, 58, 54, 5, 3,...Ch. 13.2 - Prob. 25ECCh. 13.3 - School Lunch A nutritionist decided to see if...Ch. 13.3 - Prob. 1ECh. 13.3 - What is the parametric equivalent test for the...Ch. 13.3 - Prob. 3ECh. 13.3 - Lengths of Prison Sentences A random sample of men...Ch. 13.3 - Prob. 5ECh. 13.3 - Lifetimes of Handheld Video Games To test the...Ch. 13.3 - Prob. 7ECh. 13.3 - Winning Baseball Games For the years 19701993 the...Ch. 13.3 - Prob. 9ECh. 13.3 - Medical School Enrollments Random samples of...Ch. 13.3 - Prob. 11ECh. 13.3 - Student Participation in a Blood Drive Students in...Ch. 13.4 - Pain Medication A researcher decides to see how...Ch. 13.4 - Prob. 1ECh. 13.4 - Prob. 2ECh. 13.4 - Prob. 3ECh. 13.4 - Prob. 4ECh. 13.4 - Prob. 5ECh. 13.4 - Prob. 6ECh. 13.4 - Prob. 7ECh. 13.4 - Prob. 8ECh. 13.4 - Prob. 9ECh. 13.4 - For Exercises 914, use the Wilcoxon signed-rank...Ch. 13.4 - Prob. 11ECh. 13.4 - For Exercises 914, use the Wilcoxon signed-rank...Ch. 13.4 - Prob. 13ECh. 13.4 - For Exercises 914, use the Wilcoxon signed-rank...Ch. 13.5 - Prob. 1ACCh. 13.5 - Prob. 1ECh. 13.5 - For Exercises 1 through 12, use the Kruskal-Wallis...Ch. 13.5 - Prob. 3ECh. 13.5 - For Exercises 1 through 12, use the Kruskal-Wallis...Ch. 13.5 - Prob. 5ECh. 13.5 - For Exercises 1 through 12, use the Kruskal-Wallis...Ch. 13.5 - Prob. 7ECh. 13.5 - For Exercises 1 through 12, use the Kruskal-Wallis...Ch. 13.5 - Prob. 9ECh. 13.5 - For Exercises 1 through 12, use the Kruskal-Wallis...Ch. 13.5 - Prob. 11ECh. 13.5 - For Exercises 1 through 12, use the Kruskal-Wallis...Ch. 13.6 - Tall Trees As a biologist, you wish to see if...Ch. 13.6 - Prob. 1ECh. 13.6 - Prob. 2ECh. 13.6 - Prob. 3ECh. 13.6 - Prob. 4ECh. 13.6 - Prob. 5ECh. 13.6 - For Exercises 5 through 14, perform these steps....Ch. 13.6 - Prob. 7ECh. 13.6 - For Exercises 5 through 14, perform these steps....Ch. 13.6 - Prob. 9ECh. 13.6 - Prob. 10ECh. 13.6 - Prob. 11ECh. 13.6 - For Exercises 5 through 14, perform these steps....Ch. 13.6 - Prob. 13ECh. 13.6 - For Exercises 5 through 14, perform these steps....Ch. 13.6 - Prob. 15ECh. 13.6 - Daily Lottery Numbers Listed below are the daily...Ch. 13.6 - Prob. 17ECh. 13.6 - Random Numbers Random? A calculator generated...Ch. 13.6 - Prob. 19ECh. 13.6 - Gender of Shoppers Twenty shoppers are in a...Ch. 13.6 - Employee Absences A supervisor records the number...Ch. 13.6 - Skiing Conditions A ski lodge manager observes the...Ch. 13.6 - Prob. 23ECh. 13.6 - Prob. 24ECh. 13.6 - Prob. 25ECh. 13.6 - Speeding Tickets A police chief records the gender...Ch. 13.6 - Prob. 27ECh. 13.6 - Prob. 28ECh. 13.6 - Prob. 29ECCh. 13.6 - Prob. 30ECCh. 13.6 - Prob. 31ECCh. 13.6 - Prob. 32ECCh. 13.6 - Prob. 33ECCh. 13 - For Exercises 1 through 13, follow this procedure:...Ch. 13 - Prob. 13.2.2RECh. 13 - Prob. 13.2.3RECh. 13 - Record High Temperatures Shown here are the record...Ch. 13 - Hours Worked by Student Employees Student...Ch. 13 - Prob. 13.4.6RECh. 13 - Prob. 13.4.7RECh. 13 - Prob. 13.5.8RECh. 13 - Prob. 13.5.9RECh. 13 - Prob. 13.6.10RECh. 13 - Prob. 13.6.11RECh. 13 - Prob. 13.6.12RECh. 13 - Prob. 13.6.13RECh. 13 - Prob. 13.6.14RECh. 13 - Determine whether each statement is true or false....Ch. 13 - Prob. 2CQCh. 13 - Determine whether each statement is true or false....Ch. 13 - Determine whether each statement is true or false....Ch. 13 - Prob. 5CQCh. 13 - Prob. 6CQCh. 13 - Prob. 7CQCh. 13 - Prob. 8CQCh. 13 - Prob. 9CQCh. 13 - Prob. 10CQCh. 13 - Prob. 11CQCh. 13 - Complete the following statements with the best...Ch. 13 - Prob. 13CQCh. 13 - Prob. 14CQCh. 13 - Prob. 15CQCh. 13 - Prob. 16CQCh. 13 - Textbook Costs Samples of students majoring in law...Ch. 13 - Prob. 18CQCh. 13 - Prob. 19CQCh. 13 - Prob. 20CQCh. 13 - Prob. 21CQCh. 13 - Prob. 22CQCh. 13 - Prob. 23CQCh. 13 - Prob. 24CQCh. 13 - Prob. 25CQCh. 13 - Prob. 26CQCh. 13 - Prob. 1DACh. 13 - Prob. 2DACh. 13 - Prob. 3DACh. 13 - Prob. 2CTC
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