Intro Stats, Books a la carte Plus NEW MyLab Statistics with Pearson eText -- Access Card Package (5th Edition)
5th Edition
ISBN: 9780134210247
Author: Richard D. De Veaux, Paul Velleman, David E. Bock
Publisher: PEARSON
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Question
Chapter 2, Problem 16E
a.
To determine
Identify the shape histogram distribution of shoe sizes for men and women
b.
To determine
Find the number of modes in the histogram of shoe sizes for men and women.
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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 2 Solutions
Intro Stats, Books a la carte Plus NEW MyLab Statistics with Pearson eText -- Access Card Package (5th Edition)
Ch. 2.3 - You may be surprised to find that you already have...Ch. 2.3 - You may be surprised to find that you already have...Ch. 2.3 - You may be surprised to find that you already have...Ch. 2.3 - Prob. 4JCCh. 2.3 - Prob. 5JCCh. 2.5 - The U.S. Census Bureau reports the median family...Ch. 2.5 - Prob. 7JCCh. 2.5 - Prob. 8JCCh. 2 - SECTION 2.1 1. Automobile fatalities The table...Ch. 2 - Nonoccupant fatalities The frequencies of traffic...
Ch. 2 - Prob. 3ECh. 2 - Movie ratings The Motion Picture Association of...Ch. 2 - Prob. 5ECh. 2 - Marriage in decline Changing attitudes about...Ch. 2 - Traffic fatalities 2013 Here are two histograms...Ch. 2 - Prob. 8ECh. 2 - Prob. 9ECh. 2 - Prob. 10ECh. 2 - E-mails A university teacher saved every e-mail...Ch. 2 - Adoptions The U.S. Census Bureau keeps track of...Ch. 2 - Biceps revisited Describe the shape of the...Ch. 2 - E-mails II For the distribution of e-mails sent by...Ch. 2 - Life expectancy Here are the life expectancies at...Ch. 2 - Prob. 16ECh. 2 - Life expectancy II For the 146 life expectancies...Ch. 2 - Adoptions II For the number of adoptions in...Ch. 2 - How big is your bicep II? For the bicep...Ch. 2 - Shoe sizes II For the shoe sizes in Exercise 16,...Ch. 2 - SECTION 2.5 21. Life expectancy III For the 190...Ch. 2 - Prob. 22ECh. 2 - How big is your bicep III? For the bicep...Ch. 2 - Prob. 24ECh. 2 - Thinking about shape Would you expect...Ch. 2 - More shapes Would you expect distributions of...Ch. 2 - Movie genres again Here is a bar chart summarizing...Ch. 2 - Prob. 36ECh. 2 - Prob. 37ECh. 2 - Prob. 38ECh. 2 - Prob. 39ECh. 2 - Prob. 40ECh. 2 - Prob. 41ECh. 2 - Prob. 42ECh. 2 - Prob. 43ECh. 2 - Modalities A survey of athletic trainers asked...Ch. 2 - Cereals The histogram shows the carbohydrate...Ch. 2 - Run times One of the authors collected the times...Ch. 2 - Heart attack stays The histogram shows the lengths...Ch. 2 - Bird species 2013 The Cornell Lab of Ornithology...Ch. 2 - Super Bowl points 2016 How many points do football...Ch. 2 - Prob. 50ECh. 2 - Test scores, large class Test scores from a large...Ch. 2 - Prob. 52ECh. 2 - Mistake A clerk entering salary data into a...Ch. 2 - Sick days During contract negotiations, a company...Ch. 2 - Prob. 55ECh. 2 - Tornadoes 2015 Here are the annual numbers of...Ch. 2 - Prob. 57ECh. 2 - Tornadoes 2015 II Using the data from Exercise 56,...Ch. 2 - Pizza prices The histogram shows the distribution...Ch. 2 - Neck size The histogram shows the neck sizes (in...Ch. 2 - Pizza prices again Look again at the histogram of...Ch. 2 - Neck sizes again Look again at the histogram of...Ch. 2 - Movie lengths 2010 The histogram shows the running...Ch. 2 - Golf drives 2015 The display shows the average...Ch. 2 - Prob. 65ECh. 2 - Golf drives II 2015 Exercise 64 looked at...Ch. 2 - Prob. 67ECh. 2 - Cold weather A meteorologist preparing a talk...Ch. 2 - Gasoline 2014 In January 2014, 16 gas stations in...Ch. 2 - The great one During his 20 seasons in the NHL,...Ch. 2 - Prob. 71ECh. 2 - Prob. 72ECh. 2 - Prob. 73ECh. 2 - Prob. 74ECh. 2 - Prob. 75ECh. 2 - Prob. 76ECh. 2 - Acid rain Two researchers measured the pH (a scale...Ch. 2 - Marijuana 2015 In 2015 the Council of Europe...Ch. 2 - Prob. 79ECh. 2 - Prob. 80ECh. 2 - Prob. 81ECh. 2 - ZIP codes revisited Here are some summary...Ch. 2 - Prob. 83ECh. 2 - Prob. 84ECh. 2 - Prob. 85E
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