Elementary Technical Mathematics
11th Edition
ISBN: 9781285199191
Author: Dale Ewen, C. Robert Nelson
Publisher: Cengage Learning
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Chapter 13.1, Problem 71E
To determine
To calculate: The value of angle
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We consider an N-period CRR model where each period is 1 year (At = 1), the up factor is
u = 0.1, the down factor is d = e−0.3 and r = 0. We remind you that in the CRR model, the
stock price at time tn is modeled (under P) by
Sta
=
So exp (μtn + σ√AtZn),
where (Zn) is a simple symmetric random walk.
(a) Find the parameters μ and σ for the CRR model described above.
(b) Find P
Ste
So
55/50
€ > 1).
StN
(c) Find lim P
804-N
(d) Determine q. (You can use e- 1 x.)
Ste
(e) Find Q
So
(f) Find lim Q
004-N
StN
So
In this problem, we consider a 3-period stock market model with evolution given in Fig. 1 below.
Each period corresponds to one year. The interest rate is r = 0%.
16
22
28
12
16
12
8
4
2
time
Figure 1: Stock evolution for Problem 1.
(a) A colleague notices that in the model above, a movement up-down leads to the same value
as a movement down-up. He concludes that the model is a CRR model. Is your colleague
correct? (Explain your answer.)
(b) We consider a European put with strike price K = 10 and expiration T = 3 years. Find
the price of this option at time 0. Provide the replicating portfolio for the first period.
(c) In addition to the call above, we also consider a European call with strike price K = 10
and expiration T = 3 years. Which one has the highest price? (It is not necessary to
provide the price of the call.)
(d) We now assume a yearly interest rate r = 25%. We consider a Bermudan put option with
strike price K = 10. It works like a standard put, but you can exercise it…
In this problem, we consider a 2-period stock market model with evolution given in Fig. 1 below.
Each period corresponds to one year (At = 1). The yearly interest rate is r = 1/3 = 33%. This
model is a CRR model.
25
15
9
10
6
4
time
Figure 1: Stock evolution for Problem 1.
(a) Find the values of up and down factors u and d, and the risk-neutral probability q.
(b) We consider a European put with strike price K
the price of this option at time 0.
==
16 and expiration T = 2 years. Find
(c) Provide the number of shares of stock that the replicating portfolio contains at each pos-
sible position.
(d) You find this option available on the market for $2. What do you do? (Short answer.)
(e) We consider an American put with strike price K
= 16 and expiration T
=
2 years. Find
the price of this option at time 0 and describe the optimal exercising strategy.
(f) We consider an American call with strike price K ○ = 16 and expiration T = 2 years. Find
the price of this option at time 0 and describe…
Chapter 13 Solutions
Elementary Technical Mathematics
Ch. 13.1 - Refer to right triangle ABC in Illustration 1 for...Ch. 13.1 - Refer to right triangle ABC in Illustration 1 for...Ch. 13.1 - Refer to right triangle ABC in Illustration 1 for...Ch. 13.1 - Refer to right triangle ABC in Illustration 1 for...Ch. 13.1 - Prob. 5ECh. 13.1 - Refer to right triangle ABC in Illustration 1 for...Ch. 13.1 - Prob. 7ECh. 13.1 - Refer to right triangle ABC in Illustration 1 for...Ch. 13.1 - Prob. 9ECh. 13.1 - Refer to right triangle ABC in Illustration 1 for...
Ch. 13.1 - Use right triangle ABC in Illustration 1 and the...Ch. 13.1 - Use right triangle ABC in Illustration 1 and the...Ch. 13.1 - Prob. 13ECh. 13.1 - Use right triangle ABC in Illustration 1 and the...Ch. 13.1 - Prob. 15ECh. 13.1 - Use right triangle ABC in Illustration 1 and the...Ch. 13.1 - Prob. 17ECh. 13.1 - Use right triangle ABC in Illustration 1 and the...Ch. 13.1 - Use right triangle ABC in Illustration 1 and the...Ch. 13.1 - Prob. 20ECh. 13.1 - Use right triangle ABC in Illustration 1 and the...Ch. 13.1 - Use right triangle ABC in Illustration 1 and the...Ch. 13.1 - Prob. 23ECh. 13.1 - Use right triangle ABC in Illustration 1 and the...Ch. 13.1 - Use the triangle in Illustration 2 for Exercises...Ch. 13.1 - Use the triangle in Illustration 2 for Exercises...Ch. 13.1 - Prob. 27ECh. 13.1 - Use the triangle in Illustration 2 for Exercises...Ch. 13.1 - Prob. 29ECh. 13.1 - Use the triangle in Illustration 2 for Exercises...Ch. 13.1 - Prob. 31ECh. 13.1 - Find the value of each trigonometric ratio rounded...Ch. 13.1 - Prob. 33ECh. 13.1 - Find the value of each trigonometric ratio rounded...Ch. 13.1 - Find the value of each trigonometric ratio rounded...Ch. 13.1 - Find the value of each trigonometric ratio rounded...Ch. 13.1 - Prob. 37ECh. 13.1 - Find the value of each trigonometric ratio rounded...Ch. 13.1 - Find the value of each trigonometric ratio rounded...Ch. 13.1 - Find the value of each trigonometric ratio rounded...Ch. 13.1 - Prob. 41ECh. 13.1 - Find the value of each trigonometric ratio rounded...Ch. 13.1 - Prob. 43ECh. 13.1 - Prob. 44ECh. 13.1 - Find the value of each trigonometric ratio rounded...Ch. 13.1 - Prob. 46ECh. 13.1 - Prob. 47ECh. 13.1 - Prob. 48ECh. 13.1 - Find each angle rounded to the nearest tenth of a...Ch. 13.1 - Find each angle rounded to the nearest tenth of a...Ch. 13.1 - Prob. 51ECh. 13.1 - Find each angle rounded to the nearest tenth of a...Ch. 13.1 - Prob. 53ECh. 13.1 - Find each angle rounded to the nearest tenth of a...Ch. 13.1 - Prob. 55ECh. 13.1 - Find each angle rounded to the nearest tenth of a...Ch. 13.1 - Prob. 57ECh. 13.1 - Prob. 58ECh. 13.1 - Prob. 59ECh. 13.1 - Prob. 60ECh. 13.1 - Prob. 61ECh. 13.1 - Prob. 62ECh. 13.1 - Find each angle rounded to the nearest hundredth...Ch. 13.1 - Prob. 64ECh. 13.1 - Find each angle rounded to the nearest hundredth...Ch. 13.1 - Prob. 66ECh. 13.1 - Find each angle rounded to the nearest hundredth...Ch. 13.1 - Prob. 68ECh. 13.1 - Prob. 69ECh. 13.1 - Prob. 70ECh. 13.1 - Prob. 71ECh. 13.1 - Prob. 72ECh. 13.1 - Prob. 73ECh. 13.2 - Using Illustration 1, find the measure of each...Ch. 13.2 - Using Illustration 1, find the measure of each...Ch. 13.2 - Using Illustration 1, find the measure of each...Ch. 13.2 - Using Illustration 1, find the measure of each...Ch. 13.2 - Prob. 5ECh. 13.2 - Using Illustration 1, find the measure of each...Ch. 13.2 - Prob. 7ECh. 13.2 - Using Illustration 1, find the measure of each...Ch. 13.2 - Prob. 9ECh. 13.2 - Using Illustration 1, find the measure of each...Ch. 13.2 - Using Illustration 1, find the measure of each...Ch. 13.2 - Using Illustration 1, find the measure of each...Ch. 13.2 - Using Illustration 1, find the measure of each...Ch. 13.2 - Using Illustration 1, find the measure of each...Ch. 13.2 - Using Illustration 1, find the measure of each...Ch. 13.2 - Using Illustration 1, find the measure of each...Ch. 13.2 - Prob. 17ECh. 13.2 - Using Illustration 1, find the measure of each...Ch. 13.2 - Prob. 19ECh. 13.2 - Using Illustration 1, find the measure of each...Ch. 13.2 - Prob. 21ECh. 13.2 - Prob. 22ECh. 13.2 - Prob. 23ECh. 13.2 - Prob. 24ECh. 13.3 - Find the unknown sides of each right triangle (see...Ch. 13.3 - Find the unknown sides of each right triangle (see...Ch. 13.3 - Find the unknown sides of each right triangle (see...Ch. 13.3 - Find the unknown sides of each right triangle (see...Ch. 13.3 - Find the unknown sides of each right triangle (see...Ch. 13.3 - Find the unknown sides of each right triangle (see...Ch. 13.3 - Find the unknown sides of each right triangle (see...Ch. 13.3 - Find the unknown sides of each right triangle (see...Ch. 13.3 - Find the unknown sides of each right triangle (see...Ch. 13.3 - Find the unknown sides of each right triangle (see...Ch. 13.3 - Prob. 11ECh. 13.3 - Prob. 12ECh. 13.3 - Prob. 13ECh. 13.3 - Prob. 14ECh. 13.3 - Prob. 15ECh. 13.3 - Prob. 16ECh. 13.3 - Prob. 17ECh. 13.3 - Prob. 18ECh. 13.3 - Prob. 19ECh. 13.3 - Prob. 20ECh. 13.3 - Prob. 21ECh. 13.3 - Prob. 22ECh. 13.3 - Prob. 23ECh. 13.3 - Prob. 24ECh. 13.4 - Using Illustration 1, solve each right triangle:...Ch. 13.4 - Using Illustration 1, solve each right triangle:...Ch. 13.4 - Prob. 3ECh. 13.4 - Using Illustration 1, solve each right triangle:...Ch. 13.4 - Using Illustration 1, solve each right triangle:...Ch. 13.4 - Using Illustration 1, solve each right triangle:...Ch. 13.4 - Using Illustration 1, solve each right triangle:...Ch. 13.4 - Using Illustration 1, solve each right triangle:...Ch. 13.4 - Prob. 9ECh. 13.4 - Using Illustration 1, solve each right triangle:...Ch. 13.4 - Prob. 11ECh. 13.4 - Using Illustration 1, solve each right triangle:...Ch. 13.4 - Prob. 13ECh. 13.4 - Prob. 14ECh. 13.4 - Using Illustration 1, solve each right triangle:...Ch. 13.4 - Prob. 16ECh. 13.4 - Prob. 17ECh. 13.4 - Prob. 18ECh. 13.4 - Prob. 19ECh. 13.4 - Using Illustration 1, solve each right triangle:...Ch. 13.4 - Prob. 21ECh. 13.4 - Prob. 22ECh. 13.4 - Prob. 23ECh. 13.4 - Using Illustration 1, solve each right triangle:...Ch. 13.5 - A conveyor is used to lift paper to a shredder....Ch. 13.5 - A bullet is found embedded in the wall of a room...Ch. 13.5 - The recommended safety angle of a ladder against a...Ch. 13.5 - A piece of conduit 38.0 ft long is placed across...Ch. 13.5 - Find the width of the river in Illustration 4....Ch. 13.5 - Prob. 7ECh. 13.5 - A smokestack is 180 ft high. A guy wire must be...Ch. 13.5 - A railroad track has an angle of elevation of 1.0....Ch. 13.5 - Prob. 10ECh. 13.5 - Enrico has to draft a triangular roof to a house....Ch. 13.5 - A small plane takes off from an airport and begins...Ch. 13.5 - A gauge is used to check the diameter of a crank-...Ch. 13.5 - Round metal duct runs alongside some stairs from...Ch. 13.5 - The cables attached to a TV relay tower are 110 m...Ch. 13.5 - Prob. 16ECh. 13.5 - Prob. 17ECh. 13.5 - Prob. 18ECh. 13.5 - Use the right triangle in Illustration 13: a. Find...Ch. 13.5 - Prob. 20ECh. 13.5 - Twelve equally spaced holes must be drilled on a...Ch. 13.5 - Dimension x in the dovetail shown in Illustration...Ch. 13.5 - Find angle of the taper in Illustration 17....Ch. 13.5 - You need to use a metal screw with a head angle of...Ch. 13.5 - Prob. 25ECh. 13.5 - Prob. 26ECh. 13.5 - Find length x and angle A in Illustration 21....Ch. 13.5 - From the base of a building, measure out a...Ch. 13.5 - A mechanical draftsperson needs to find the...Ch. 13.5 - Prob. 30ECh. 13.5 - Prob. 31ECh. 13.5 - Prob. 32ECh. 13.5 - Solar heating and electric panels should face the...Ch. 13.5 - A lean-to is a simple shelter with three walls, a...Ch. 13 - For Exercises 1-7, see Illustration 1....Ch. 13 - For Exercises 1-7, see Illustration 1....Ch. 13 - Prob. 3RCh. 13 - For Exercises 1-7, see Illustration 1....Ch. 13 - Prob. 5RCh. 13 - Prob. 6RCh. 13 - Prob. 7RCh. 13 - Find the value of each trigonometric ratio rounded...Ch. 13 - Find the value of each trigonometric ratio rounded...Ch. 13 - Find the value of each trigonometric ratio rounded...Ch. 13 - Find each angle rounded to the nearest tenth of a...Ch. 13 - Find each angle rounded to the nearest tenth of a...Ch. 13 - Find each angle rounded to the nearest tenth of a...Ch. 13 - Find angle A in Illustration 2. ILLUSTRATION 2Ch. 13 - Find angle B in Illustration 2. ILLUSTRATION 2Ch. 13 - Find side b in Illustration3. ILLUSTRATION 3Ch. 13 - Prob. 17RCh. 13 - Prob. 18RCh. 13 - Solve each right triangle:Ch. 13 - Prob. 20RCh. 13 - A satellite is directly overhead one observer...Ch. 13 - A ranger at the top of a fire tower observes the...Ch. 13 - Find the angle of slope of the symmetrical roof in...Ch. 13 - Find the value of each trigonometric ratio rounded...Ch. 13 - Find the value of each trigonometric ratio rounded...Ch. 13 - Find the value of each trigonometric ratio rounded...Ch. 13 - Find each angle rounded to the nearest tenth of a...Ch. 13 - Find each angle rounded to the nearest tenth of a...Ch. 13 - Find each angle rounded to the nearest tenth of a...Ch. 13 - Find angle B Illustration 1. ILLUSTRATION 1Ch. 13 - Find side a Illustration 1. ILLUSTRATION 1Ch. 13 - Find side c Illustration 1. ILLUSTRATION 1Ch. 13 - Find angle A Illustration 2. ILLUSTRATION 2Ch. 13 - Find angle B Illustration 2. ILLUSTRATION 2Ch. 13 - Find side b Illustration 2. ILLUSTRATION 2Ch. 13 - A tower 50.0 ft high has a guy wire that is...Ch. 13 - Find length x in the retaining wall in...Ch. 13 - Find angle A in the retaining wall in Illustration...
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