Statistics (13th Edition)
13th Edition
ISBN: 9780134080215
Author: James T. McClave, Terry T Sincich
Publisher: PEARSON
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Chapter 14.7, Problem 92UP
To determine
State the conditions that are required for a valid Spearman’s test.
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Strength of the relationship (strong/moderate/weak):
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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 14 Solutions
Statistics (13th Edition)
Ch. 14.2 - Prob. 1UPCh. 14.2 - Prob. 2UPCh. 14.2 - Prob. 3LMCh. 14.2 - Prob. 4LMCh. 14.2 - Prob. 5LMCh. 14.2 - Music performance anxiety. Refer to the British...Ch. 14.2 - Prob. 7ACBCh. 14.2 - 15.8 Caffeine in Starbucks coffee. Researchers at...Ch. 14.2 - Emotional empathy in young adults. Refer to the...Ch. 14.2 - Prob. 10ACB
Ch. 14.2 - Prob. 11ACBCh. 14.2 - Prob. 12ACICh. 14.2 - 15.10 Lobster trap placement. Refer to the...Ch. 14.2 - Prob. 14ACICh. 14.2 - Prob. 15ACICh. 14.2 - Prob. 16ACICh. 14.2 - Prob. 17ACICh. 14.3 - What is a rank sum?
Ch. 14.3 - Prob. 19UPCh. 14.3 - Prob. 20UPCh. 14.3 - Prob. 21LMCh. 14.3 - 15.17 Suppose you want to compare two treatments,...Ch. 14.3 - Prob. 23LMCh. 14.3 - Random samples of sizes n1 = 16 and n2 = 12 were...Ch. 14.3 - 15.18 Independent random samples are selected from...Ch. 14.3 - Prob. 26ACBCh. 14.3 - Prob. 27ACBCh. 14.3 - Prob. 28ACBCh. 14.3 - 15.23 The X-Factor in golf performance. Many golf...Ch. 14.3 - Prob. 30ACBCh. 14.3 - Prob. 31ACBCh. 14.3 - 15.85 Children’s recall of TV ads. Refer to the...Ch. 14.3 - Prob. 33ACICh. 14.3 - Prob. 34ACICh. 14.3 - Prob. 35ACICh. 14.3 - Prob. 36ACICh. 14.3 - Prob. 37ACICh. 14.3 - Prob. 38ACICh. 14.3 - Prob. 39ACICh. 14.4 - Explain the difference between the one- and...Ch. 14.4 - Prob. 41UPCh. 14.4 - Prob. 42LMCh. 14.4 - Prob. 43LMCh. 14.4 - Prob. 44LMCh. 14.4 - Prob. 45LMCh. 14.4 - A random sample of nine pairs of measurements is...Ch. 14.4 - Prob. 47ACBCh. 14.4 - Prob. 48ACBCh. 14.4 - Prob. 49ACBCh. 14.4 - Prob. 50ACBCh. 14.4 - Reading comprehension strategies of elementary...Ch. 14.4 - Prob. 52ACBCh. 14.4 - Prob. 53ACICh. 14.4 - Prob. 54ACICh. 14.4 - Prob. 55ACICh. 14.4 - Neurological impairment of POWs. Eleven prisoners...Ch. 14.4 - Prob. 57ACICh. 14.4 - Prob. 58ACACh. 14.5 - 15.43 Under what circumstances does the χ2...Ch. 14.5 - Which of the following results would lead you to...Ch. 14.5 - Suppose you want to use the Kruskal-Wallis H-test...Ch. 14.5 - Data were collected from three populations—A, B...Ch. 14.5 - 15.46 Containing wildfires. The International...Ch. 14.5 - 15.47 Road safety of neighborhoods. The Canadian...Ch. 14.5 - Dog behavior on walks. A field study was conducted...Ch. 14.5 - 15.49 Improving driving performance while...Ch. 14.5 - Effect of scopolamine on memory. Refer to the...Ch. 14.5 - 15.48 Commercial eggs produced from different...Ch. 14.5 - 15.50 Relieving pain with hypnosis. Rehabilitation...Ch. 14.5 - Energy expenditure of laughter. Refer to the...Ch. 14.5 -
Restoring self-control when intoxicated. Refer...Ch. 14.5 - Ground water contamination of wells. Refer to the...Ch. 14.5 - The “name game.” Refer to the Journal of...Ch. 14.5 -
Is honey a cough remedy? Refer to the Archives...Ch. 14.6 - Which of the following statements correctly...Ch. 14.6 - What conditions are required for a valid...Ch. 14.6 - Data were collected under a randomized block...Ch. 14.6 - 15.55 Suppose you have used a randomized block...Ch. 14.6 - 15.56 An experiment was conducted using a...Ch. 14.6 - A new method of evaluating health care research...Ch. 14.6 - Prob. 81ACBCh. 14.6 - 15.64 Containers designed to cool citrus fruit....Ch. 14.6 - 15.57 Estimating time needed to complete a task....Ch. 14.6 - 15.60 Taste testing scales. Refer to the Journal...Ch. 14.6 - Impact study of distractions while driving. The...Ch. 14.6 - 15.58 Condit ions impeding farm production. A...Ch. 14.6 - “Topsy-turvy” seasons in college football. Refer...Ch. 14.6 - 15.65 Irrelevant facial similarity effects on...Ch. 14.6 - Effect of massage on boxers. Refer to the British...Ch. 14.6 - Plants and stress reduction. Refer to the Kansas...Ch. 14.7 - What is the value of rS when there is perfect...Ch. 14.7 - What conditions are required for a valid...Ch. 14.7 - 15.66 Use Table XIV at the end of this chapter to...Ch. 14.7 - 15.67 Specify the rejection region for Spearman’s...Ch. 14.7 - 15.69 Compute Spearman s rank correlation...Ch. 14.7 - 15.68 The following sample data were collected on...Ch. 14.7 - Measuring the moon’s orbit. Refer to the American...Ch. 14.7 - Mongolian desert ants. Refer to the Journal of...Ch. 14.7 - Game performance of water polo players. Refer to...Ch. 14.7 - Lobster fishing study. Refer to the Bulletin of...Ch. 14.7 - Effect of massage on boxers. Refer to the British...Ch. 14.7 - Childhood obesity study. Refer to the Journal of...Ch. 14.7 - Groundwater contamination of wells. Refer to the...Ch. 14.7 - The “name game.” Refer to the Journal of...Ch. 14.7 - 15.76 Taste testing scales. Refer to the Journal...Ch. 14.7 - 15.75 In business, do nice guys finish first or...Ch. 14.7 - 15.74 Food availability at middle schools. Refer...Ch. 14.7 - Pain empathy and brain activity. Refer to the...Ch. 14.7 - Public perceptions of health risks. Refer to the...Ch. 14 - Prob. 110UPCh. 14 - For each of the following, give the appropriate...Ch. 14 - 15.80 The data for three independent random...Ch. 14 - 15.81 A random sample of nine pairs of...Ch. 14 - 15.82 Two independent random samples produced the...Ch. 14 - 15.83 An experiment was conducted using a...Ch. 14 - Radioactive lichen. Refer to the Lichen...Ch. 14 - Prob. 118ACBCh. 14 - Prob. 119ACBCh. 14 - Prob. 120ACBCh. 14 - Prob. 121ACBCh. 14 - Extending the life of an aluminum smelter pot....Ch. 14 - 15.36 NHTSA new car crash tests. Refer to the...Ch. 14 - Prob. 124ACICh. 14 - Prob. 125ACICh. 14 - Prob. 126ACICh. 14 - Prob. 127ACICh. 14 - Prob. 128ACICh. 14 - Prob. 129ACICh. 14 - Prob. 130ACICh. 14 - Prob. 131ACICh. 14 - Prob. 132ACICh. 14 - Prob. 133ACICh. 14 - Prob. 134ACICh. 14 - Prob. 135ACICh. 14 - Prob. 136ACICh. 14 - Prob. 137ACICh. 14 - Prob. 138CTC
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