Mathematical Ideas with Integrated Review and Worksheets plus NEW MyLab Math with Pearson eText -- Access Card Package (Integrated Review Courses in MyLab Math and MyLab Statistics)
1st Edition
ISBN: 9780321977274
Author: Miller, Charles, Heeren, Vern, HORNSBY, John, Christopher
Publisher: PEARSON
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Chapter 14.3, Problem 40E
Brute Force Algorithm In Exercises 38-41, use the brute force algorithm to find a minimum Hamilton circuit for the graph. In each case determine the total weight of the minimum Hamilton circuit.
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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
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…
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 14 Solutions
Mathematical Ideas with Integrated Review and Worksheets plus NEW MyLab Math with Pearson eText -- Access Card Package (Integrated Review Courses in MyLab Math and MyLab Statistics)
Ch. 14.1 - Vertices and Edges In Exercises 1-6, determine how...Ch. 14.1 - Vertices and Edges In Exercises 1-6, determine how...Ch. 14.1 - Vertices and Edges In Exercises 1-6, determine how...Ch. 14.1 - Prob. 4ECh. 14.1 - Prob. 5ECh. 14.1 - Prob. 6ECh. 14.1 - Prob. 7ECh. 14.1 - Prob. 8ECh. 14.1 - Prob. 9ECh. 14.1 - Prob. 10E
Ch. 14.1 - Prob. 11ECh. 14.1 - Prob. 12ECh. 14.1 - Prob. 13ECh. 14.1 - Prob. 14ECh. 14.1 - Prob. 15ECh. 14.1 - Prob. 16ECh. 14.1 - Prob. 17ECh. 14.1 - Prob. 18ECh. 14.1 - Prob. 19ECh. 14.1 - Prob. 20ECh. 14.1 - Prob. 21ECh. 14.1 - Prob. 22ECh. 14.1 - Prob. 23ECh. 14.1 - Prob. 24ECh. 14.1 - Prob. 25ECh. 14.1 - Number of Edges In Exercises 23-26, use the...Ch. 14.1 - Prob. 27ECh. 14.1 - Prob. 28ECh. 14.1 - Prob. 29ECh. 14.1 - Prob. 30ECh. 14.1 - Prob. 31ECh. 14.1 - Prob. 32ECh. 14.1 - Prob. 33ECh. 14.1 - Prob. 34ECh. 14.1 - Prob. 35ECh. 14.1 - Prob. 36ECh. 14.1 - Prob. 37ECh. 14.1 - Prob. 38ECh. 14.1 - Prob. 39ECh. 14.1 - Prob. 40ECh. 14.1 - Prob. 41ECh. 14.1 - Prob. 42ECh. 14.1 - Prob. 43ECh. 14.1 - 44. Chess Competition Students from two schools...Ch. 14.1 - Prob. 45ECh. 14.1 - Prob. 46ECh. 14.1 - Prob. 47ECh. 14.1 - Number of Handshakes There are seven people at a...Ch. 14.1 - Prob. 49ECh. 14.1 - Prob. 50ECh. 14.1 - Prob. 51ECh. 14.1 - 52. Students in the Same Class Mary, Erin, Sue,...Ch. 14.1 - Here is another theorem about graphs: In any...Ch. 14.1 - Draw two nonisomorphic (simple) graphs with 6...Ch. 14.1 - Explain why the two graphs drawn in Exercise 54...Ch. 14.1 - Analyzing a Cube with a Graph Draw a graph whose...Ch. 14.1 - Prob. 57ECh. 14.1 - Prob. 58ECh. 14.1 - Prob. 59ECh. 14.1 - Prob. 60ECh. 14.1 - Prob. 61ECh. 14.1 - Prob. 62ECh. 14.1 - Prob. 63ECh. 14.1 - Prob. 64ECh. 14.1 - Prob. 65ECh. 14.1 - Prob. 66ECh. 14.1 - Prob. 67ECh. 14.1 - Prob. 68ECh. 14.1 - Prob. 69ECh. 14.1 - Prob. 70ECh. 14.1 - 71. Inviting Colleagues to a Gathering Several of...Ch. 14.1 - Prob. 72ECh. 14.1 - Prob. 73ECh. 14.1 - Prob. 74ECh. 14.1 - Prob. 75ECh. 14.1 - Graph Coloring In Exercises 75 and 76, draw a...Ch. 14.1 - Prob. 77ECh. 14.1 - Prob. 78ECh. 14.1 - Prob. 79ECh. 14.1 - Prob. 80ECh. 14.1 - Prob. 81ECh. 14.1 - Prob. 82ECh. 14.1 - The Six Degrees of Kevin Bacon Use the Web site...Ch. 14.1 - The Six Degrees of Kevin BaconUse the Web site...Ch. 14.1 - The Six Degrees of Kevin BaconUse the Web site...Ch. 14.1 - The Six Degrees of Kevin Bacon Use the Web...Ch. 14.1 - The Six Degrees of Kevin Bacon Use the Web...Ch. 14.1 - The Six Degrees of Kevin Bacon Use the Web site...Ch. 14.1 - The Six Degrees of Kevin BaconUse the Web site...Ch. 14.1 - The Six Degrees of Kevin BaconUse the Web site...Ch. 14.1 - The Six Degrees of Kevin BaconUse the Web site...Ch. 14.1 - The Six Degrees of Kevin BaconUse the Web site...Ch. 14.1 - 93. Lines from She Walks in Beauty, by Lord...Ch. 14.1 - 94. Lines from Annabel Lee, by Edgar Allan Poe
It...Ch. 14.1 - Poetry Analysis Graphs may be used to clarify the...Ch. 14.1 - 96. Lines from Sailing to Byzantium, by William...Ch. 14.2 - Euler Circuits. In Exercises 1-3, a graph is shown...Ch. 14.2 - Prob. 2ECh. 14.2 - Euler Circuits In Exercises 1-3, a graph is shown...Ch. 14.2 - Prob. 4ECh. 14.2 - Euler's Theorem In Exercises 4-8, use Eulers...Ch. 14.2 - Prob. 6ECh. 14.2 - Euler's Theorem.In Exercises 4-8, use Eider's...Ch. 14.2 - Prob. 8ECh. 14.2 - Euler's Theorem In Exercises 9 and 10, use Eider's...Ch. 14.2 - Prob. 10ECh. 14.2 - Euler's Theorem In Exercises 11-14, use Eider's...Ch. 14.2 - Prob. 12ECh. 14.2 - Euler's Theorem In Exercises 11-14, use Euler's...Ch. 14.2 - Prob. 14ECh. 14.2 - Floor Tilings In Exercises 15-18, different floor...Ch. 14.2 - Prob. 16ECh. 14.2 - Floor Tilings In Exercises 15-18, different floor...Ch. 14.2 - Prob. 18ECh. 14.2 - Prob. 19ECh. 14.2 - Prob. 20ECh. 14.2 - Prob. 21ECh. 14.2 - Prob. 22ECh. 14.2 - Fleury's Algorithm In Exercises 23-25, a graph is...Ch. 14.2 - Prob. 24ECh. 14.2 - Prob. 25ECh. 14.2 - Prob. 26ECh. 14.2 - Fleury's Algorithm In Exercises 26-28\ use...Ch. 14.2 - Prob. 28ECh. 14.2 - Euler's Theorem and Fleury's Algorithm In...Ch. 14.2 - Euler's Theorem and Fleury's Algorithm In...Ch. 14.2 - Euler's Theorem and Fleury's Algorithm In...Ch. 14.2 - Prob. 32ECh. 14.2 - 33. Parking Pattern The map shows the roads on...Ch. 14.2 - Prob. 34ECh. 14.2 - Floor Plans In Exercises 34-36, the floor plan of...Ch. 14.2 - Prob. 36ECh. 14.2 - Exercises 37-44 are based on the following...Ch. 14.2 - Prob. 38ECh. 14.2 - Exercises 37-44 are based on the following...Ch. 14.2 - Prob. 40ECh. 14.2 - Exercises 37-44 are based on the following...Ch. 14.2 - Floor PlansIn Exercises 41-43, refer to the floor...Ch. 14.2 - Prob. 43ECh. 14.2 - Prob. 44ECh. 14.2 - Prob. 45ECh. 14.2 - Prob. 46ECh. 14.2 - Prob. 47ECh. 14.2 - Prob. 48ECh. 14.2 - Prob. 49ECh. 14.2 - Route Planning For each street grid in Exercise...Ch. 14.2 - Route Planning For each street grid in Exercise...Ch. 14.2 - Route Planning For each street grid in Exercise...Ch. 14.3 - Prob. 1ECh. 14.3 - Prob. 2ECh. 14.3 - Euler and Hamilton Circuits In Exercises 3 and 4,...Ch. 14.3 - Euler and Hamilton Circuits In Exercises 3 and 4,...Ch. 14.3 - Hamilton Circuits In Exercises 5-10, determine...Ch. 14.3 - Hamilton Circuits In Exercises 5-10, determine...Ch. 14.3 - Hamilton Circuits In Exercises 5-10, determine...Ch. 14.3 - Hamilton Circuits In Exercises 5-10, determine...Ch. 14.3 - Hamilton Circuits In Exercises 5-10, determine...Ch. 14.3 - Hamilton Circuits In Exercises 5-10, determine...Ch. 14.3 - Prob. 11ECh. 14.3 - Prob. 12ECh. 14.3 - Prob. 13ECh. 14.3 - Decide whether each statement is true or false. If...Ch. 14.3 - Hamilton and Euler Circuits In Exercises 15-20,...Ch. 14.3 - Hamilton and Euler Circuits In Exercises 15-20,...Ch. 14.3 - Hamilton and Euler Circuits In Exercises 15-20,...Ch. 14.3 - Hamilton and Euler Circuits In Exercises 15-20,...Ch. 14.3 - Hamilton and Euler Circuits In Exercises 15-20,...Ch. 14.3 - Hamilton and Euler Circuits In Exercises 15-20,...Ch. 14.3 - FactorialsIn Exercises 21-24, use a calculator, if...Ch. 14.3 - Factorials In Exercises 21-24, use a calculator,...Ch. 14.3 - Factorials In Exercises 21-24, use a calculator,...Ch. 14.3 - Prob. 24ECh. 14.3 - Hamilton Circuit In Exercises 25-28, determine how...Ch. 14.3 - Prob. 26ECh. 14.3 - Prob. 27ECh. 14.3 - Prob. 28ECh. 14.3 - List all Hamilton circuits in the graph that start...Ch. 14.3 - Prob. 30ECh. 14.3 - Prob. 31ECh. 14.3 - Prob. 32ECh. 14.3 - Prob. 33ECh. 14.3 - Prob. 34ECh. 14.3 - Prob. 35ECh. 14.3 - Prob. 36ECh. 14.3 - Prob. 37ECh. 14.3 - Brute Force Algorithm In Exercises 38-41, use the...Ch. 14.3 - Brute Force Algorithm In Exercises 38-41, use the...Ch. 14.3 - Brute Force Algorithm In Exercises 38-41, use the...Ch. 14.3 - Brute Force Algorithm In Exercises 38-41, use the...Ch. 14.3 - Prob. 42ECh. 14.3 - Prob. 43ECh. 14.3 - Nearest Neighbor Algorithm In Exercises 42-44, use...Ch. 14.3 - 45. Nearest Neighbor Algorithm Refer to the...Ch. 14.3 - Prob. 46ECh. 14.3 - Prob. 47ECh. 14.3 - Prob. 48ECh. 14.3 - Prob. 49ECh. 14.3 - Hamilton Circuits In Exercises 47-50, find all...Ch. 14.3 - Traveling Salesman Problem The diagram represents...Ch. 14.3 - Prob. 52ECh. 14.3 - The Icosian Game The graph below shows the Icosian...Ch. 14.3 - Prob. 54ECh. 14.3 - Dirac's Theorem Paul A. M. Dirac proved the...Ch. 14.4 - Prob. 1ECh. 14.4 - Prob. 2ECh. 14.4 - Prob. 3ECh. 14.4 - Prob. 4ECh. 14.4 - Prob. 5ECh. 14.4 - Prob. 6ECh. 14.4 - Prob. 7ECh. 14.4 - Prob. 8ECh. 14.4 - Prob. 9ECh. 14.4 - Prob. 10ECh. 14.4 - Prob. 11ECh. 14.4 - Tree or Not a Tree? In Exercises 11-13, determine...Ch. 14.4 - Prob. 13ECh. 14.4 - Prob. 14ECh. 14.4 - Trees and Cut Edges In Exercises 14-17, determine...Ch. 14.4 - Trees and Cut Edges In Exercises 14-17, determine...Ch. 14.4 - Prob. 17ECh. 14.4 - Prob. 18ECh. 14.4 - Prob. 19ECh. 14.4 - Prob. 20ECh. 14.4 - Prob. 21ECh. 14.4 - Prob. 22ECh. 14.4 - Prob. 23ECh. 14.4 - Prob. 24ECh. 14.4 - Prob. 25ECh. 14.4 - Prob. 26ECh. 14.4 - Prob. 27ECh. 14.4 - Prob. 28ECh. 14.4 - Prob. 29ECh. 14.4 - Prob. 30ECh. 14.4 - Prob. 31ECh. 14.4 - Prob. 32ECh. 14.4 - Prob. 33ECh. 14.4 - Town Water Distribution A town council is planning...Ch. 14.4 - Prob. 35ECh. 14.4 - Prob. 36ECh. 14.4 - Prob. 37ECh. 14.4 - Prob. 38ECh. 14.4 - Prob. 39ECh. 14.4 - For Exercise 34
Trees, Edges, and Vertices Work...Ch. 14.4 - 41. Suppose we have a tree with 10 vertices.
(a)...Ch. 14.4 - Prob. 42ECh. 14.4 - Prob. 43ECh. 14.4 - 44. Design of a Garden Maria has 12 vegetable and...Ch. 14.4 - Prob. 45ECh. 14.4 - Prob. 46ECh. 14.4 - Prob. 47ECh. 14.4 - Prob. 48ECh. 14.4 - Prob. 49ECh. 14.4 - Prob. 50ECh. 14.4 - Prob. 51ECh. 14.4 - Prob. 52ECh. 14.4 - Prob. 53ECh. 14.4 - Prob. 54ECh. 14.4 - Prob. 55ECh. 14.4 - Vertex/Edge Relationship In this exercise, we...Ch. 14 - Basic Concepts In Exercises 1-5, refer to the...Ch. 14 - Basic Concepts In Exercises 1-5, refer to the...Ch. 14 - Prob. 3TCh. 14 - Prob. 4TCh. 14 - Prob. 5TCh. 14 - Prob. 6TCh. 14 - Prob. 7TCh. 14 - Prob. 8TCh. 14 - Planning for Dinner Julia is planning to invite...Ch. 14 - Prob. 10TCh. 14 - Prob. 11TCh. 14 - Prob. 12TCh. 14 - Prob. 13TCh. 14 - Scheduling Exams A teacher at a high school must...Ch. 14 - Prob. 15TCh. 14 - Prob. 16TCh. 14 - Prob. 17TCh. 14 - Prob. 18TCh. 14 - Prob. 19TCh. 14 - Prob. 20TCh. 14 - Prob. 21TCh. 14 - Prob. 22TCh. 14 - Prob. 23TCh. 14 - Prob. 24TCh. 14 - Prob. 25TCh. 14 - 26. Nonisomorphic Trees Draw three nonisomorphic...Ch. 14 - Prob. 27TCh. 14 - Prob. 28TCh. 14 - Prob. 29TCh. 14 - Prob. 30TCh. 14 - Prob. 31TCh. 14 - Prob. 32T
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