Introduction To Statistics And Data Analysis
6th Edition
ISBN: 9781337794503
Author: PECK
Publisher: Cengage
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Chapter 13.1, Problem 2E
Consider the variables and population regression line given in the previous exercise.
- a. What is the
mean value of gas usage for houses with 2100 sq. ft. of space? - b. What is the average change in usage associated with a 1 sq. ft. increase in size?
- c. What is the average change in usage associated with a 100 sq. ft. increase in size?
- d. Should the model be used to predict mean usage for a 500 sq. ft. house? Why or why not? (Hint: See the discussion following Example 13.2.)
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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 13 Solutions
Introduction To Statistics And Data Analysis
Ch. 13.1 - Let x be the size of a house (in square feet) and...Ch. 13.1 - Consider the variables and population regression...Ch. 13.1 - The flow rate in a device used for air quality...Ch. 13.1 - The paper Predicting Yolk Height, Yolk Width,...Ch. 13.1 - A sample of small cars was selected, and the...Ch. 13.1 - Prob. 6ECh. 13.1 - Suppose that a simple linear regression model is...Ch. 13.1 - a. Explain the difference between the line y x...Ch. 13.1 - Prob. 9ECh. 13.1 - Hormone replacement therapy (HRT) is thought to...
Ch. 13.1 - Consider the data and estimated regression line...Ch. 13.1 - A simple linear regression model was used to...Ch. 13.1 - Consider the accompanying data on x = Advertising...Ch. 13.2 - What is the difference between and b? What is the...Ch. 13.2 - The largest commercial fishing enterprise in the...Ch. 13.2 - Prob. 16ECh. 13.2 - Prob. 17ECh. 13.2 - Prob. 18ECh. 13.2 - An experiment to study the relationship between x...Ch. 13.2 - The paper The Effects of Split Keyboard Geometry...Ch. 13.2 - The authors of the paper Decreased Brain Volume in...Ch. 13.2 - Do taller adults make more money? The authors of...Ch. 13.2 - Researchers studying pleasant touch sensations...Ch. 13.2 - Prob. 24ECh. 13.2 - Acrylamide is a chemical that is sometimes found...Ch. 13.2 - Prob. 26ECh. 13.2 - Exercise 13.18 described a regression analysis...Ch. 13.2 - Consider the accompanying data on x = Research and...Ch. 13.2 - Prob. 29ECh. 13.2 - In anthropological studies, an important...Ch. 13.3 - The graphs accompanying this exercise are based on...Ch. 13.3 - Prob. 32ECh. 13.3 - Prob. 33ECh. 13.3 - The article Vital Dimensions in Volume Perception:...Ch. 13.3 - Prob. 35ECh. 13.3 - An investigation of the relationship between x =...Ch. 13.4 - Prob. 37ECh. 13.4 - Prob. 38ECh. 13.4 - In Exercise 13.19, we considered a regression of y...Ch. 13.4 - Prob. 40ECh. 13.4 - A subset of data read from a graph that appeared...Ch. 13.4 - Prob. 42ECh. 13.4 - Prob. 43ECh. 13.4 - The article first introduced in Exercise 13.34 of...Ch. 13.4 - The shelf life of packaged food depends on many...Ch. 13.4 - For the cereal data of the previous exercise, the...Ch. 13.4 - The article Performance Test Conducted for a Gas...Ch. 13.5 - Prob. 48ECh. 13.5 - Prob. 49ECh. 13.5 - A sample of n = 353 college faculty members was...Ch. 13.5 - Prob. 51ECh. 13.5 - Prob. 52ECh. 13.5 - The accompanying summary quantities for x =...Ch. 13.5 - Prob. 54ECh. 13.5 - Prob. 55ECh. 13.6 - Prob. 56ECh. 13 - Prob. 1CRECh. 13 - Prob. 2CRECh. 13 - Prob. 3CRECh. 13 - Prob. 4CRECh. 13 - Prob. 5CRECh. 13 - The accompanying graphical display is similar to...Ch. 13 - Prob. 7CRECh. 13 - Prob. 8CRECh. 13 - Consider the following data on y = Number of songs...Ch. 13 - Many people take ginkgo supplements advertised to...Ch. 13 - Prob. 11CRECh. 13 - Prob. 12CRECh. 13 - Prob. 13CRECh. 13 - Prob. 14CRECh. 13 - The discharge of industrial wastewater into rivers...Ch. 13 - Many people take ginkgo supplements advertised to...Ch. 13 - It is hypothesized that when homing pigeons are...Ch. 13 - Prob. 18CRECh. 13 - Prob. 57CRCh. 13 - Prob. 58CRCh. 13 - Prob. 59CRCh. 13 - The article Photocharge Effects in Dye Sensitized...Ch. 13 - Prob. 61CRCh. 13 - Prob. 62CRCh. 13 - Prob. 63CRCh. 13 - Prob. 64CRCh. 13 - Prob. 65CRCh. 13 - The article Improving Fermentation Productivity...Ch. 13 - Prob. 67CRCh. 13 - Prob. 68CRCh. 13 - Prob. 69CR
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