ELEMENTARY STATS: STEP BY STEP - CONNECT
10th Edition
ISBN: 9781265626181
Author: Bluman
Publisher: MCG
expand_more
expand_more
format_list_bulleted
Concept explainers
Videos
Question
Chapter 13, Problem 6CQ
To determine
The distribution used by Kruskal-wallis test.
Expert Solution & Answer
Want to see the full answer?
Check out a sample textbook solution
Students have asked these similar questions
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?
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?
2
Chapter 13 Solutions
ELEMENTARY STATS: STEP BY STEP - CONNECT
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 - For Exercises 7 through 12, rank each set of data....Ch. 13.1 - For Exercises 7 through 12, rank each set of data....
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 - Externships Fifty undergraduate students were...Ch. 13.2 - Lottery Ticket Sales A lottery outlet owner...Ch. 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 - For Exercises 3 and 4, find the sum of the signed...Ch. 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. 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 - NBA Scoring Leaders The scoring leaders for the...Ch. 13 - Prob. 13.6.13RECh. 13 - Prob. 13.6.14RECh. 13 - Prob. 1DACh. 13 - Prob. 2DACh. 13 - Prob. 3DACh. 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. 26CQ
Knowledge Booster
Learn more about
Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, statistics and related others by exploring similar questions and additional content below.Similar questions
- Question 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_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_forward
- Using the accompanying Home Market Value data and associated regression line, Market ValueMarket Valueequals=$28,416+$37.066×Square Feet, compute the errors associated with each observation using the formula e Subscript ieiequals=Upper Y Subscript iYiminus−ModifyingAbove Upper Y with caret Subscript iYi and construct a frequency distribution and histogram. LOADING... Click the icon to view the Home Market Value data. Question content area bottom Part 1 Construct a frequency distribution of the errors, e Subscript iei. (Type whole numbers.) Error Frequency minus−15 comma 00015,000less than< e Subscript iei less than or equals≤minus−10 comma 00010,000 0 minus−10 comma 00010,000less than< e Subscript iei less than or equals≤minus−50005000 5 minus−50005000less than< e Subscript iei less than or equals≤0 21 0less than< e Subscript iei less than or equals≤50005000 9…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 Overhead Costs Billable Hours345000 3000385000 4000410000 5000462000 6000530000 7000545000 8000arrow_forwardUsing the accompanying Home Market Value data and associated regression line, Market ValueMarket Valueequals=$28,416plus+$37.066×Square Feet, compute the errors associated with each observation using the formula e Subscript ieiequals=Upper Y Subscript iYiminus−ModifyingAbove Upper Y with caret Subscript iYi and construct a frequency distribution and histogram. Square Feet Market Value1813 911001916 1043001842 934001814 909001836 1020002030 1085001731 877001852 960001793 893001665 884001852 1009001619 967001690 876002370 1139002373 1131001666 875002122 1161001619 946001729 863001667 871001522 833001484 798001589 814001600 871001484 825001483 787001522 877001703 942001485 820001468 881001519 882001518 885001483 765001522 844001668 909001587 810001782 912001483 812001519 1007001522 872001684 966001581 86200arrow_forward
- For a binary asymmetric channel with Py|X(0|1) = 0.1 and Py|X(1|0) = 0.2; PX(0) = 0.4 isthe probability of a bit of “0” being transmitted. X is the transmitted digit, and Y is the received digit.a. Find the values of Py(0) and Py(1).b. What is the probability that only 0s will be received for a sequence of 10 digits transmitted?c. What is the probability that 8 1s and 2 0s will be received for the same sequence of 10 digits?d. What is the probability that at least 5 0s will be received for the same sequence of 10 digits?arrow_forwardV2 360 Step down + I₁ = I2 10KVA 120V 10KVA 1₂ = 360-120 or 2nd Ratio's V₂ m 120 Ratio= 360 √2 H I2 I, + I2 120arrow_forwardQ2. [20 points] An amplitude X of a Gaussian signal x(t) has a mean value of 2 and an RMS value of √(10), i.e. square root of 10. Determine the PDF of x(t).arrow_forward
arrow_back_ios
SEE MORE QUESTIONS
arrow_forward_ios
Recommended textbooks for you
Glencoe Algebra 1, Student Edition, 9780079039897...AlgebraISBN:9780079039897Author:CarterPublisher:McGraw Hill
Holt Mcdougal Larson Pre-algebra: Student Edition...AlgebraISBN:9780547587776Author:HOLT MCDOUGALPublisher:HOLT MCDOUGAL
Big Ideas Math A Bridge To Success Algebra 1: Stu...AlgebraISBN:9781680331141Author:HOUGHTON MIFFLIN HARCOURTPublisher:Houghton Mifflin Harcourt
Glencoe Algebra 1, Student Edition, 9780079039897...
Algebra
ISBN:9780079039897
Author:Carter
Publisher:McGraw Hill
Holt Mcdougal Larson Pre-algebra: Student Edition...
Algebra
ISBN:9780547587776
Author:HOLT MCDOUGAL
Publisher:HOLT MCDOUGAL
Big Ideas Math A Bridge To Success Algebra 1: Stu...
Algebra
ISBN:9781680331141
Author:HOUGHTON MIFFLIN HARCOURT
Publisher:Houghton Mifflin Harcourt
Statistics 4.1 Point Estimators; Author: Dr. Jack L. Jackson II;https://www.youtube.com/watch?v=2MrI0J8XCEE;License: Standard YouTube License, CC-BY
Statistics 101: Point Estimators; Author: Brandon Foltz;https://www.youtube.com/watch?v=4v41z3HwLaM;License: Standard YouTube License, CC-BY
Central limit theorem; Author: 365 Data Science;https://www.youtube.com/watch?v=b5xQmk9veZ4;License: Standard YouTube License, CC-BY
Point Estimate Definition & Example; Author: Prof. Essa;https://www.youtube.com/watch?v=OTVwtvQmSn0;License: Standard Youtube License
Point Estimation; Author: Vamsidhar Ambatipudi;https://www.youtube.com/watch?v=flqhlM2bZWc;License: Standard Youtube License