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 13.2, Problem 1LC
The F-ratio for the repeated-measures ANOVA is structured so that variance caused by individual differences is eliminated.
a. Explain why individual differences are not part of the between-treatments variance in the numerator of the F-ratio.
b. Explain why individual differences are not part of the error variance in the denominator of the F-ratio.
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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
Essentials of Statistics for the Behavioral Sciences
Ch. 13.2 - The F-ratio for the repeated-measures ANOVA is...Ch. 13.2 - A repeated-measures study is used to evaluate the...Ch. 13.2 - Prob. 2LCACh. 13.2 - Prob. 3LCACh. 13.2 - Prob. 1LCBCh. 13.2 - Prob. 2LCBCh. 13.3 - Prob. 1LCCh. 13.3 - It is impossible to have an interaction unless you...Ch. 13.3 - Prob. 1LCACh. 13.3 - Prob. 2LCA
Ch. 13.3 - Prob. 3LCACh. 13 - How does the denominator of the F-ratio (the error...Ch. 13 - The repeated-measures ANOVA can be viewed as a...Ch. 13 - A researcher conducts an experiment comparing...Ch. 13 - Prob. 4PCh. 13 - A researcher uses a repeated-measures ANOVA to...Ch. 13 - A published report of a repeated-measures research...Ch. 13 - A recent study examined how applicants with a...Ch. 13 - One of the primary advantages of a...Ch. 13 - The following data are from an experiment...Ch. 13 - A researcher is evaluating customer satisfaction...Ch. 13 - The following summary table presents the results...Ch. 13 - A recent study indicates that simply giving...Ch. 13 - Prob. 14PCh. 13 - The endorphins released by the brain act as...Ch. 13 - Prob. 16PCh. 13 - Explain what happens during each of the two stages...Ch. 13 - The following matrix presents the results from an...Ch. 13 - The following matrix presents the results of a...Ch. 13 - A researcher conducts an independent-measures,...Ch. 13 - Prob. 21PCh. 13 - Prob. 22PCh. 13 - Example 13.1 in this chapter described a...Ch. 13 - The following table summarizes the results from a...Ch. 13 - The following data are from a two-factor study...Ch. 13 - Research indicates that paying students to improve...Ch. 13 - A researcher examining the jet lag that people...Ch. 13 - Prob. 2RECh. 13 - Briefly describe what is meant by an interaction...Ch. 13 - Most sports injuries are immediate and obvious,...
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