Explanation H 0 : P = 0 .5 H 1 : P > 0 .5 Z-test of p output can be obtained by using the statistical software. This result is given below. z-Test of a proportion Sample proportion 0.657 Z stat 9

Statistics for Management and Economics (Book Only)

11th Edition

ISBN: 9781337296946

Author: Gerald Keller

Publisher: Cengage Learning

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Chapter 15.A, Problem 23E

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Test hypothesis.

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Chapter 15.A, Problem 22E

Chapter 15.A, Problem 24E

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5. Some people find options expensive and use more complex structures to reduce the cost. For example, consider buying a call with a strike of $55 and selling a call with a strike of $60. a. What is the cost of establishing this combined position? b. What is the payoff of the combined position if the market price goes to $60? c. What is the payoff of the combined position if the market price goes to $100?

3. An investor has $1,000 to invest. They believe the price of the underlier will increase to $60 within one year. a. How many shares of stock could they buy with the $1,000 at the current price of $50, and how much would they make if the share price increased to $60? b. How many calls with a strike of $55 could they buy for the same $1,000, and how much would they make if the share price increased to $60? c. How much would they make (or lose) from the stock and from the calls if the share price declined to $40? 4. What is the premium on a call with a strike of $0.01? Why is the premium so close to the $50 share price?

1. We want to examine the comparative statics of the Black Scholes model. Complete the following table using the Excel model from class or another of your choice. Provide the call premium and the put premium for each scenario. Underlier Risk-free Scenario price rate Volatility Time to expiration Strike Call premium Put premium Baseline $50 5% 25% 1 year $55 Higher strike $50 5% 25% 1 year $60 Higher volatility $50 5% 40% 1 year $55 Higher risk free $50 8% 25% 1 year $55 More time $50 5% 25% 2 years $55 2. Look at the baseline scenario. a. What is the probability that the call is exercised in the baseline scenario? b. What is the probability that the put is exercised? c. Explain why the probabilities sum to 1.

Chapter 15 Solutions

Statistics for Management and Economics (Book Only)

Ch. 15.1 - Prob. 1E Ch. 15.1 - Prob. 2E Ch. 15.1 - Prob. 3E Ch. 15.1 - Prob. 4E Ch. 15.1 - Prob. 5E Ch. 15.1 - Prob. 6E Ch. 15.1 - Prob. 7E Ch. 15.1 - Prob. 8E Ch. 15.1 - Prob. 9E Ch. 15.1 - Prob. 10E

Ch. 15.1 - Prob. 11E Ch. 15.1 - Prob. 12E Ch. 15.1 - Prob. 13E Ch. 15.1 - Prob. 14E Ch. 15.1 - Prob. 15E Ch. 15.1 - Prob. 16E Ch. 15.1 - Prob. 17E Ch. 15.1 - Prob. 18E Ch. 15.1 - Prob. 19E Ch. 15.1 - Prob. 20E Ch. 15.1 - Prob. 21E Ch. 15.1 - Prob. 22E Ch. 15.1 - Prob. 23E Ch. 15.1 - Prob. 24E Ch. 15.1 - Prob. 25E Ch. 15.2 - Prob. 26E Ch. 15.2 - Prob. 27E Ch. 15.2 - Prob. 28E Ch. 15.2 - Prob. 29E Ch. 15.2 - Prob. 30E Ch. 15.2 - Prob. 31E Ch. 15.2 - Prob. 32E Ch. 15.2 - Prob. 33E Ch. 15.2 - Prob. 34E Ch. 15.2 - Prob. 35E Ch. 15.2 - Prob. 36E Ch. 15.2 - Prob. 37E Ch. 15.2 - Prob. 38E Ch. 15.2 - Prob. 39E Ch. 15.2 - Prob. 40E Ch. 15.2 - Prob. 41E Ch. 15.2 - Prob. 42E Ch. 15.2 - Prob. 43E Ch. 15.2 - Prob. 44E Ch. 15.2 - Prob. 45E Ch. 15.2 - Prob. 46E Ch. 15.2 - Prob. 47E Ch. 15.2 - Prob. 48E Ch. 15.2 - Prob. 49E Ch. 15.2 - Prob. 50E Ch. 15.2 - Prob. 51E Ch. 15.2 - Prob. 52E Ch. 15.2 - Prob. 53E Ch. 15.2 - Prob. 54E Ch. 15.2 - Prob. 55E Ch. 15.2 - Prob. 56E Ch. 15.2 - Prob. 57E Ch. 15.2 - Prob. 58E Ch. 15.2 - Prob. 59E Ch. 15.2 - Prob. 60E Ch. 15.2 - Prob. 61E Ch. 15.2 - Prob. 62E Ch. 15.2 - Prob. 63E Ch. 15.2 - Prob. 64E Ch. 15.2 - Prob. 65E Ch. 15.2 - Prob. 66E Ch. 15.2 - Prob. 67E Ch. 15.2 - Prob. 68E Ch. 15.2 - Prob. 69E Ch. 15.2 - Prob. 70E Ch. 15.2 - Prob. 71E Ch. 15.2 - Prob. 72E Ch. 15.2 - Prob. 73E Ch. 15.2 - Prob. 74E Ch. 15.2 - Prob. 75E Ch. 15.2 - Prob. 76E Ch. 15.2 - Prob. 77E Ch. 15.2 - Prob. 78E Ch. 15.4 - Prob. 79E Ch. 15.4 - Prob. 80E Ch. 15.4 - Prob. 81E Ch. 15.4 - Prob. 82E Ch. 15.4 - Prob. 83E Ch. 15.4 - Prob. 84E Ch. 15.4 - Prob. 85E Ch. 15.A - Prob. 1E Ch. 15.A - Prob. 3E Ch. 15.A - Prob. 4E Ch. 15.A - Prob. 5E Ch. 15.A - Prob. 6E Ch. 15.A - Prob. 7E Ch. 15.A - Prob. 8E Ch. 15.A - Prob. 9E Ch. 15.A - Prob. 10E Ch. 15.A - Prob. 11E Ch. 15.A - Prob. 12E Ch. 15.A - Prob. 13E Ch. 15.A - Prob. 14E Ch. 15.A - Prob. 15E Ch. 15.A - Prob. 16E Ch. 15.A - Prob. 17E Ch. 15.A - Prob. 18E Ch. 15.A - Prob. 19E Ch. 15.A - Prob. 20E Ch. 15.A - Prob. 21E Ch. 15.A - Prob. 22E Ch. 15.A - Prob. 23E Ch. 15.A - Prob. 24E Ch. 15.A - Prob. 25E Ch. 15.A - Prob. 26E Ch. 15.A - Prob. 27E Ch. 15.A - Prob. 28E Ch. 15.A - Prob. 29E Ch. 15.A - Prob. 30E Ch. 15.A - Prob. 31E Ch. 15.A - Prob. 32E Ch. 15.A - Prob. 33E Ch. 15.A - Prob. 34E Ch. 15.A - Prob. 35E Ch. 15.A - Prob. 36E Ch. 15.A - Prob. 37E Ch. 15.A - Prob. 38E Ch. 15.A - Prob. 39E Ch. 15.A - Prob. 40E Ch. 15.A - Prob. 41E Ch. 15.A - Prob. 42E Ch. 15.A - Prob. 43E Ch. 15 - Prob. 86CE Ch. 15 - Prob. 87CE Ch. 15 - Prob. 88CE Ch. 15 - Prob. 89CE Ch. 15 - Prob. 90CE Ch. 15 - Prob. 91CE Ch. 15 - Prob. 92CE Ch. 15 - Prob. 93CE Ch. 15 - Prob. 94CE Ch. 15 - Prob. 95CE Ch. 15 - Prob. 96CE Ch. 15 - Prob. 97CE Ch. 15 - Prob. 98CE Ch. 15 - Prob. 99CE Ch. 15 - Prob. 100CE Ch. 15 - Prob. 101CE Ch. 15 - Prob. 102CE Ch. 15 - Prob. 103CE Ch. 15 - Prob. 104CE Ch. 15 - Prob. 105CE Ch. 15 - Prob. 106CE Ch. 15 - Prob. 107CE Ch. 15 - Prob. 108CE Ch. 15 - Prob. 109CE Ch. 15 - Prob. 110CE Ch. 15 - Prob. 111CE

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Test hypothesis.

Solution Summary: The author explains that the Z-test of a proportion can be obtained by using the statistical software.

Test hypothesis.

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Chapter 15 Solutions