EBK PRACTICE OF STATISTICS IN THE LIFE
4th Edition
ISBN: 9781319067496
Author: BALDI
Publisher: VST
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Question
Chapter 15, Problem 15.1AYK
(a)
To determine
To explain: whether it is correct to calculate from the given data
(a)
Expert Solution
Answer to Problem 15.1AYK
It is not reasonable to calculate the confidence interval for the percent answering.
Explanation of Solution
Given:
Of the 1290 vote cast, 864 were “yes” response.
In this study, the responses of the question have two options, say, Yes or No. In this poll, it is not mandatory to give responses for the question. This type of survey is called voluntary survey.
It is not reasonable to calculate the confidence interval for the percent answering.
Conclusion:
Therefore, it is not reasonable to calculate the confidence interval for the percent answering.
(b)
To determine
To explain: whether it is correct to calculate from the given data
(b)
Expert Solution
Answer to Problem 15.1AYK
It is not reasonable to calculate the confidence interval for the percent answering, because it is a voluntary survey.
Explanation of Solution
It is not mandatory for online readers to give responses for the question. It depends upon online readers what to click or whether to click or not.
It is not reasonable to calculate the confidence interval for the percent answering, because it is a voluntary survey.
Conclusion:
Therefore,it is not reasonable to calculate the confidence interval for the percent answering, because it is a voluntary survey.
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Students have asked these similar questions
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.)
Problem 4. Margrabe formula and the Greeks (20 pts)
In the homework, we determined the Margrabe formula for the price of an option allowing you to
swap an x-stock for a y-stock at time T. For stocks with initial values xo, yo, common volatility
σ and correlation p, the formula was given by
Fo=yo (d+)-x0Þ(d_),
where
In (±²
Ꭲ
d+
õ√T
and
σ = σ√√√2(1 - p).
дго
(a) We want to determine a "Greek" for ỡ on the option: find a formula for
θα
(b) Is
дго
θα
positive or negative?
(c) We consider a situation in which the correlation p between the two stocks increases: what
can you say about the price Fo?
(d) Assume that yo< xo and p = 1. What is the price of the option?
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
Chapter 15 Solutions
EBK PRACTICE OF STATISTICS IN THE LIFE
Ch. 15 - Prob. 15.1AYKCh. 15 - Prob. 15.2AYKCh. 15 - Prob. 15.3AYKCh. 15 - Prob. 15.4AYKCh. 15 - Prob. 15.5AYKCh. 15 - Prob. 15.6AYKCh. 15 - Prob. 15.8AYKCh. 15 - Prob. 15.9AYKCh. 15 - Prob. 15.10AYKCh. 15 - Prob. 15.11AYK
Ch. 15 - Prob. 15.12AYKCh. 15 - Prob. 15.13AYKCh. 15 - Prob. 15.14AYKCh. 15 - Prob. 15.15AYKCh. 15 - Prob. 15.16AYKCh. 15 - Prob. 15.17AYKCh. 15 - Prob. 15.18CYSCh. 15 - Prob. 15.19CYSCh. 15 - Prob. 15.20CYSCh. 15 - Prob. 15.21CYSCh. 15 - Prob. 15.22CYSCh. 15 - Prob. 15.23CYSCh. 15 - Prob. 15.24CYSCh. 15 - Prob. 15.25CYSCh. 15 - Prob. 15.26CYSCh. 15 - Prob. 15.27CYSCh. 15 - Prob. 15.28ECh. 15 - Prob. 15.29ECh. 15 - Prob. 15.30ECh. 15 - Prob. 15.31ECh. 15 - Prob. 15.32ECh. 15 - Prob. 15.33ECh. 15 - Prob. 15.34ECh. 15 - Prob. 15.35ECh. 15 - Prob. 15.36ECh. 15 - Prob. 15.37ECh. 15 - Prob. 15.38ECh. 15 - Prob. 15.39ECh. 15 - Prob. 15.40ECh. 15 - Prob. 15.41ECh. 15 - Prob. 15.42E
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