Intro Stats, Books a la Carte Edition (5th Edition)
5th Edition
ISBN: 9780134210285
Author: Richard D. De Veaux, Paul Velleman, David E. Bock
Publisher: PEARSON
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Chapter 17.3, Problem 3JC
To determine
Explain the reason for not using one proportion z-test.
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Question 1: Determine and interpret the correlation coefficient between the two variables. In your interpretation, discuss the direction of the relationship (positive, negative, or zero relationship). Also discuss the strength of the relationship.
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Direction of the relationship (positive, negative, or zero relationship):
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 17 Solutions
Intro Stats, Books a la Carte Edition (5th Edition)
Ch. 17.2 - A public broadcasting station plans to launch a...Ch. 17.2 - Prob. 2JCCh. 17.3 - Prob. 3JCCh. 17.3 - Prob. 4JCCh. 17.4 - Prob. 5JCCh. 17.4 - Prob. 6JCCh. 17.4 - Prob. 7JCCh. 17.4 - Prob. 8JCCh. 17.5 - Prob. 9JCCh. 17.5 - Recall the experiment comparing patients 4 weeks...
Ch. 17.5 - Prob. 11JCCh. 17 - Canada Suppose an advocacy organization surveys...Ch. 17 - Non-profits Do people who work for non-profit...Ch. 17 - Canada, deux The information in Exercise 1 was...Ch. 17 - Prob. 4ECh. 17 - Prob. 5ECh. 17 - Prob. 6ECh. 17 - Prob. 7ECh. 17 - Prob. 8ECh. 17 - Prob. 9ECh. 17 - Non-profits test Complete the analysis begun in...Ch. 17 - Prob. 11ECh. 17 - Prob. 12ECh. 17 - Prob. 13ECh. 17 - Athlete ages, again Using the summary statistics...Ch. 17 - Prob. 15ECh. 17 - Athlete ages, ninth inning The researchers in...Ch. 17 - Prob. 17ECh. 17 - Athlete ages, overtime Repeat the test you did in...Ch. 17 - Prob. 19ECh. 17 - Prob. 20ECh. 17 - Prob. 21ECh. 17 - Prob. 22ECh. 17 - Prob. 23ECh. 17 - Prob. 24ECh. 17 - Prob. 25ECh. 17 - Prob. 26ECh. 17 - Prob. 27ECh. 17 - Graduation The U.S. Department of Commerce...Ch. 17 - Prob. 29ECh. 17 - Carpal tunnel The painful wrist condition called...Ch. 17 - Prob. 31ECh. 17 - Prob. 32ECh. 17 - Ear infections A new vaccine was recently tested...Ch. 17 - Anorexia The Journal of the American Medical...Ch. 17 - Prob. 35ECh. 17 - Prob. 36ECh. 17 - Teen smoking A Vermont study published by the...Ch. 17 - Depression A study published in the Archives of...Ch. 17 - Birthweight The Journal of the American Medical...Ch. 17 - Politics and sex One month before the election, a...Ch. 17 - Prob. 41ECh. 17 - Prob. 42ECh. 17 - Pain Researchers comparing the effectiveness of...Ch. 17 - Gender gap Candidates for political office realize...Ch. 17 - Prob. 45ECh. 17 - Prob. 46ECh. 17 - Sensitive men In the same article from Exercise...Ch. 17 - Carbs Recently, the Gallup Poll asked 1005 U.S....Ch. 17 - Food preference GfK Roper Consulting gathers...Ch. 17 - Prob. 50ECh. 17 - Hot dogs In the July 2007 issue, Consumer Reports...Ch. 17 - Prob. 52ECh. 17 - Prob. 53ECh. 17 - Prob. 54ECh. 17 - Hot dogs, last one In Exercise 53, we saw a 90%...Ch. 17 - Third load of wash In Exercise 54, we saw a 98%...Ch. 17 - Prob. 57ECh. 17 - Prob. 58ECh. 17 - Prob. 59ECh. 17 - Prob. 60ECh. 17 - Commuting A man who moves to a new city sees that...Ch. 17 - Pulse rates A researcher wanted to see whether...Ch. 17 - Prob. 63ECh. 17 - New construction The house sales we looked at in...Ch. 17 - Cereal sugar The data below show the sugar content...Ch. 17 - Prob. 66ECh. 17 - Prob. 67ECh. 17 - Prob. 68ECh. 17 - Cholesterol and gender Are men or women at higher...Ch. 17 - Prob. 70ECh. 17 - Home runs 2016 American League baseball teams play...Ch. 17 - Prob. 72ECh. 17 - Prob. 73ECh. 17 - Prob. 74ECh. 17 - Prob. 75ECh. 17 - Ad campaign You are a consultant to the marketing...Ch. 17 - Prob. 77ECh. 17 - Thirsty? Researchers randomly assigned...Ch. 17 - Prob. 79ECh. 17 - Prob. 80ECh. 17 - Tees Does it matter what kind of tee a golfer...Ch. 17 - Golf again Given the test results on golf tees...Ch. 17 - Music and memory Is it a good idea to listen to...Ch. 17 - Rap Using the results of the experiment described...Ch. 17 - Prob. 87ECh. 17 - Prob. 88E
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