Mathematical Ideas (13th Edition) - Standalone book
13th Edition
ISBN: 9780321977076
Author: Charles D. Miller, Vern E. Heeren, John Hornsby, Christopher Heeren
Publisher: PEARSON
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Textbook Question
Chapter 2.1, Problem 6E
Match each set in Group I with the appropriate description in Group II.
I
II
A. the set of all even integers
B. the set of the five least positive integer powers of 2
C. the set of even positive integers less than 10
D. the set of all odd integers
E. the set of all negative integers
F. the set of odd positive integers less than 10
G.
H. the set of the five least positive integer multiples of 2
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We consider an N-period CRR model where each period is 1 year (At = 1), the up factor is
u = 0.1, the down factor is d = e−0.3 and r = 0. We remind you that in the CRR model, the
stock price at time tn is modeled (under P) by
Sta
=
So exp (μtn + σ√AtZn),
where (Zn) is a simple symmetric random walk.
(a) Find the parameters μ and σ for the CRR model described above.
(b) Find P
Ste
So
55/50
€ > 1).
StN
(c) Find lim P
804-N
(d) Determine q. (You can use e- 1 x.)
Ste
(e) Find Q
So
(f) Find lim Q
004-N
StN
So
In this problem, we consider a 3-period stock market model with evolution given in Fig. 1 below.
Each period corresponds to one year. The interest rate is r = 0%.
16
22
28
12
16
12
8
4
2
time
Figure 1: Stock evolution for Problem 1.
(a) A colleague notices that in the model above, a movement up-down leads to the same value
as a movement down-up. He concludes that the model is a CRR model. Is your colleague
correct? (Explain your answer.)
(b) We consider a European put with strike price K = 10 and expiration T = 3 years. Find
the price of this option at time 0. Provide the replicating portfolio for the first period.
(c) In addition to the call above, we also consider a European call with strike price K = 10
and expiration T = 3 years. Which one has the highest price? (It is not necessary to
provide the price of the call.)
(d) We now assume a yearly interest rate r = 25%. We consider a Bermudan put option with
strike price K = 10. It works like a standard put, but you can exercise it…
In this problem, we consider a 2-period stock market model with evolution given in Fig. 1 below.
Each period corresponds to one year (At = 1). The yearly interest rate is r = 1/3 = 33%. This
model is a CRR model.
25
15
9
10
6
4
time
Figure 1: Stock evolution for Problem 1.
(a) Find the values of up and down factors u and d, and the risk-neutral probability q.
(b) We consider a European put with strike price K
the price of this option at time 0.
==
16 and expiration T = 2 years. Find
(c) Provide the number of shares of stock that the replicating portfolio contains at each pos-
sible position.
(d) You find this option available on the market for $2. What do you do? (Short answer.)
(e) We consider an American put with strike price K
= 16 and expiration T
=
2 years. Find
the price of this option at time 0 and describe the optimal exercising strategy.
(f) We consider an American call with strike price K ○ = 16 and expiration T = 2 years. Find
the price of this option at time 0 and describe…
Chapter 2 Solutions
Mathematical Ideas (13th Edition) - Standalone book
Ch. 2.1 - Prob. 1ECh. 2.1 - Match each set in Group I with the appropriate...Ch. 2.1 - Match each set in Group I with the appropriate...Ch. 2.1 - Match each set in Group I with the appropriate...Ch. 2.1 - Match each set in Group I with the appropriate...Ch. 2.1 - Match each set in Group I with the appropriate...Ch. 2.1 - Match each set in Group I with the appropriate...Ch. 2.1 - Match each set in Group I with the appropriate...Ch. 2.1 - Prob. 9ECh. 2.1 - Prob. 10E
Ch. 2.1 - Prob. 11ECh. 2.1 - Prob. 12ECh. 2.1 - Prob. 13ECh. 2.1 - List all the elements of each set. Use set...Ch. 2.1 - List all the elements of each set. Use set...Ch. 2.1 - List all the elements of each set. Use set...Ch. 2.1 - Prob. 17ECh. 2.1 - Prob. 18ECh. 2.1 - Denote each set by the listing method. There may...Ch. 2.1 - Denote each set by the listing method. There may...Ch. 2.1 - Prob. 21ECh. 2.1 - Prob. 22ECh. 2.1 - Prob. 23ECh. 2.1 - Denote each set by the listing method. There may...Ch. 2.1 - Prob. 25ECh. 2.1 - 26 {(x, y) |x and y are integers, and
Ch. 2.1 - Denote each set by set-builder notation using x as...Ch. 2.1 - Denote each set by set-builder notation, using x...Ch. 2.1 - 29.
Ch. 2.1 - Denote each set by set-builder notation, using x...Ch. 2.1 - Prob. 31ECh. 2.1 - Prob. 32ECh. 2.1 - Prob. 33ECh. 2.1 - Prob. 34ECh. 2.1 - Identify each set as finite or infinite.
35.
Ch. 2.1 - Identify each set as finite or infinite. {6,12,18}Ch. 2.1 - Identify each set as finite or infinite. {...Ch. 2.1 - Identify each set as finite or infinite. 3,6,9,Ch. 2.1 - Prob. 39ECh. 2.1 - Identify each set as finite or infinite.
40 {x|x...Ch. 2.1 - Identify each set as finite or infinite. {x|x is a...Ch. 2.1 - Identify each set as finite or infinite. {x|x is a...Ch. 2.1 - Find n (A) for each set. A=0,1,2,3,4,5,6,7Ch. 2.1 - Find n (A) for each set. A=3,1,1,3,5,7,9Ch. 2.1 - Find n (A) for each set.
45.
Ch. 2.1 - Find n (A) for each set. A=0,1,2,3,,2000Ch. 2.1 - Prob. 47ECh. 2.1 - Prob. 48ECh. 2.1 - Prob. 49ECh. 2.1 - Prob. 50ECh. 2.1 - Find n (A) for each set. A={...Ch. 2.1 - Prob. 52ECh. 2.1 - Although x is a consonant why can we write x is a...Ch. 2.1 - Prob. 54ECh. 2.1 - Prob. 55ECh. 2.1 - Identify each set as well defined or not well...Ch. 2.1 - Prob. 57ECh. 2.1 - Prob. 58ECh. 2.1 - Fill each blank with either or to make each...Ch. 2.1 - Prob. 60ECh. 2.1 - Prob. 61ECh. 2.1 - Prob. 62ECh. 2.1 - Prob. 63ECh. 2.1 - Prob. 64ECh. 2.1 - Fill each blank with either or to make each...Ch. 2.1 - The statement 96,86,76 is true even though the...Ch. 2.1 - Write true or false for each statement. 32,5,6,8Ch. 2.1 - Write true or false for each statement. m1,m,n,o,pCh. 2.1 - Prob. 69ECh. 2.1 - Write true or false for each statement. 2-2,5,8,9Ch. 2.1 - Write true or false for each statement....Ch. 2.1 - Prob. 72ECh. 2.1 - Write true or false for each statement....Ch. 2.1 - Prob. 74ECh. 2.1 - Prob. 75ECh. 2.1 - Prob. 76ECh. 2.1 - Prob. 77ECh. 2.1 - Prob. 78ECh. 2.1 - Prob. 79ECh. 2.1 - Prob. 80ECh. 2.1 - Write true or false for each statement in...Ch. 2.1 - Prob. 82ECh. 2.1 - Prob. 83ECh. 2.1 - Prob. 84ECh. 2.1 - 85. The human mind likes to create collections....Ch. 2.1 - Prob. 86ECh. 2.1 - Prob. 87ECh. 2.1 - Prob. 88ECh. 2.1 - Prob. 89ECh. 2.1 - Prob. 90ECh. 2.1 - Prob. 91ECh. 2.1 - Prob. 92ECh. 2.2 - Prob. 1ECh. 2.2 - Prob. 2ECh. 2.2 - Prob. 3ECh. 2.2 - Prob. 4ECh. 2.2 - Prob. 5ECh. 2.2 - Insert or in each blank to obtain a true...Ch. 2.2 - Insert or in each blank to obtain a true...Ch. 2.2 - Insert or in each blank to obtain a true...Ch. 2.2 - Insert or in each blank to obtain a true...Ch. 2.2 - Insert or in each blank to obtain a true...Ch. 2.2 - Insert or in each blank to obtain a true...Ch. 2.2 - Insert or in each blank to obtain a true...Ch. 2.2 - Prob. 13ECh. 2.2 - {red, blue, yellow}_____{yellow, blue, red}Ch. 2.2 - Prob. 15ECh. 2.2 - Prob. 16ECh. 2.2 - 17. _____{0}
Ch. 2.2 - _____Ch. 2.2 - {0, 1, 2, 3}______{1, 2, 3, 4}Ch. 2.2 - 20.{ 56,98 }{ 65,89 }Ch. 2.2 - Prob. 21ECh. 2.2 - Prob. 22ECh. 2.2 - Prob. 23ECh. 2.2 - Prob. 24ECh. 2.2 - Prob. 25ECh. 2.2 - Prob. 26ECh. 2.2 - Prob. 27ECh. 2.2 - Prob. 28ECh. 2.2 - Prob. 29ECh. 2.2 - Prob. 30ECh. 2.2 - Prob. 31ECh. 2.2 - Prob. 32ECh. 2.2 - Prob. 33ECh. 2.2 - Prob. 34ECh. 2.2 - For Exercises 21-36, tell whether each statement...Ch. 2.2 - For Exercises 21-36, tell whether each statement...Ch. 2.2 - Prob. 37ECh. 2.2 - Prob. 38ECh. 2.2 - Prob. 39ECh. 2.2 - For Exercises 37-40, find (a) the number of...Ch. 2.2 - Prob. 41ECh. 2.2 - Prob. 42ECh. 2.2 - Prob. 43ECh. 2.2 - Prob. 44ECh. 2.2 - Fly to California Drive to Califorina Higher cost...Ch. 2.2 - Prob. 46ECh. 2.2 - Prob. 47ECh. 2.2 - Prob. 48ECh. 2.2 - Prob. 49ECh. 2.2 - Prob. 50ECh. 2.2 - Prob. 51ECh. 2.2 - Prob. 52ECh. 2.2 - Prob. 53ECh. 2.2 - Prob. 54ECh. 2.2 - Prob. 55ECh. 2.2 - Prob. 56ECh. 2.2 - Prob. 57ECh. 2.2 - Prob. 58ECh. 2.2 - Prob. 59ECh. 2.2 - Prob. 60ECh. 2.2 - Prob. 61ECh. 2.2 - Prob. 62ECh. 2.2 - Prob. 63ECh. 2.2 - Prob. 64ECh. 2.3 - Match each term in Group I with the appropriate...Ch. 2.3 - Match each term in Group I with the appropriate...Ch. 2.3 - Match each term in Group I with the appropriate...Ch. 2.3 - Match each term in Group I with the appropriate...Ch. 2.3 - Match each term in Group I with the appropriate...Ch. 2.3 - Match each term in Group I with the appropriate...Ch. 2.3 - Perform the indicated operations, and designate...Ch. 2.3 - Perform the indicated operations, and designate...Ch. 2.3 - Perform the indicated operations, and designate...Ch. 2.3 - Perform the indicated operations, and designate...Ch. 2.3 - Perform the indicated operations, and designate...Ch. 2.3 - Perform the indicated operations, and designate...Ch. 2.3 - Perform the indicated operations, and designate...Ch. 2.3 - Perform the indicated operations, and designate...Ch. 2.3 - Prob. 15ECh. 2.3 - 16.
Ch. 2.3 - Prob. 17ECh. 2.3 - 18.
Ch. 2.3 - (ZX)YCh. 2.3 - (TX)ZCh. 2.3 - X(XY)Ch. 2.3 - Prob. 22ECh. 2.3 - 23
Ch. 2.3 - Prob. 24ECh. 2.3 - Prob. 25ECh. 2.3 - (AB)(BA)Ch. 2.3 - 27.
Ch. 2.3 - (AB)CCh. 2.3 - Prob. 29ECh. 2.3 - TACh. 2.3 - Prob. 31ECh. 2.3 - TACh. 2.3 - Prob. 33ECh. 2.3 - Prob. 34ECh. 2.3 - Prob. 35ECh. 2.3 - An accountant is sorting tax returns in her files...Ch. 2.3 - Prob. 37ECh. 2.3 - 38.
Ch. 2.3 - 39.
Ch. 2.3 - n(AB)=n(A)+n(B)(AB)Ch. 2.3 - For Exercises41-44 use your results in parts (a)...Ch. 2.3 - Prob. 42ECh. 2.3 - Prob. 43ECh. 2.3 - For Exercises 41-44 use your results in parts (a)...Ch. 2.3 - Prob. 45ECh. 2.3 - (2,13)=(13,2)Ch. 2.3 - 6,3=3,6Ch. 2.3 - 48.
Ch. 2.3 - Find and for A and B defined as follows.
49.
Ch. 2.3 - Prob. 50ECh. 2.3 - Use the given information to find n(AB) and n(BA)...Ch. 2.3 - n(A)=13 and n(B)=5Ch. 2.3 - Find the cardinal number specified. If n(AB)=72...Ch. 2.3 - Find the cardinal number specified. If n(AB)=300...Ch. 2.3 - Prob. 55ECh. 2.3 - Prob. 56ECh. 2.3 - Prob. 57ECh. 2.3 - Prob. 58ECh. 2.3 - Use a Venn diagram similar to the one shown below...Ch. 2.3 - Prob. 60ECh. 2.3 - Prob. 61ECh. 2.3 - Prob. 62ECh. 2.3 - Use a Venn diagram similar to the one shown below...Ch. 2.3 - Prob. 64ECh. 2.3 - Prob. 65ECh. 2.3 - Prob. 66ECh. 2.3 - Prob. 67ECh. 2.3 - Prob. 68ECh. 2.3 - Prob. 69ECh. 2.3 - Use a Venn diagram to shade each set (AC)BCh. 2.3 - Prob. 71ECh. 2.3 - Prob. 72ECh. 2.3 - Prob. 73ECh. 2.3 - Write a description of each shaded area Use the...Ch. 2.3 - Write a description of each shaded area Use the...Ch. 2.3 - Write a description of each shaded area Use the...Ch. 2.3 - Prob. 77ECh. 2.3 - Prob. 78ECh. 2.3 - Prob. 79ECh. 2.3 - Prob. 80ECh. 2.3 - Prob. 81ECh. 2.3 - Prob. 82ECh. 2.3 - Prob. 83ECh. 2.3 - Prob. 84ECh. 2.3 - Prob. 85ECh. 2.3 - Prob. 86ECh. 2.3 - Prob. 87ECh. 2.3 - Prob. 88ECh. 2.3 - Prob. 89ECh. 2.3 - Prob. 90ECh. 2.4 - Prob. 1ECh. 2.4 - 2.
a
b
c
d
e
Ch. 2.4 - 3 a ABC b ABC c. ABC d ABC e ABC f ABC g ABC h ABCCh. 2.4 -
4.
a
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c.
d
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Ch. 2.4 - In Exercises 5-10, make use of an appropriate...Ch. 2.4 - Find the value of n(AB) if n(A)=16,n(B)=28, and...Ch. 2.4 - Find the value of n (AB) if n(A)=20,n(B)=12, and...Ch. 2.4 - In Exercises 5-10, make use of an appropriate...Ch. 2.4 - 9. Find the value of n (A) if and
Ch. 2.4 - Prob. 10ECh. 2.4 - Prob. 11ECh. 2.4 - Prob. 12ECh. 2.4 - n(A)=25,n(B)=28,n(AB)=40,n(AB)=10Ch. 2.4 - 14.
Ch. 2.4 - Prob. 15ECh. 2.4 - ...Ch. 2.4 - 17
Ch. 2.4 - 18
Ch. 2.4 - Use Venn diagrams to work each problem.
19....Ch. 2.4 - Compact Disc Collection Gitti is a fan of the...Ch. 2.4 - Student Response to Classical Composers The 65...Ch. 2.4 - Financial Aid for Students At a southern...Ch. 2.4 - 23 Animated Movies A middle school counselor...Ch. 2.4 - 24 Non-Mainline Religious Beliefs 140 U S adults...Ch. 2.4 - Survey on Attitudes toward Religion Researchers...Ch. 2.4 - Prob. 26ECh. 2.4 - Hospital Patient Symptoms A survey was conducted...Ch. 2.4 - Song Themes It was once said that country-western...Ch. 2.4 - Prob. 29ECh. 2.4 - Sports Viewing A survey of 130 TV viewers was...Ch. 2.4 - Prob. 31ECh. 2.4 - Army Housing A study of U S. Army housing trends...Ch. 2.4 - Prob. 33ECh. 2.4 - Prob. 34ECh. 2 - Prob. 1TCh. 2 - Prob. 2TCh. 2 - Prob. 3TCh. 2 - Prob. 4TCh. 2 - In Exercises 1-14 let
Identify each statement as...Ch. 2 - Prob. 6TCh. 2 - Prob. 7TCh. 2 - In Exercises 1-14 let...Ch. 2 - n[(AB)C]=4Ch. 2 - In Exercises 1-14 let
Identify each statement as...Ch. 2 - Prob. 11TCh. 2 - In Exercises 1-14 let...Ch. 2 - Prob. 13TCh. 2 - Prob. 14TCh. 2 - Give a word description for each set. {-3, -1, 1,...Ch. 2 - Give a word description for each set.
16. {Sun,...Ch. 2 - Express each set in set-builder notation.
17. {-1,...Ch. 2 - Express each set in set-builder notation.
18. {24,...Ch. 2 - Place both, or neither in each blank to make a...Ch. 2 - Place both, or neither in each blank to make a...Ch. 2 - Prob. 21TCh. 2 - Prob. 22TCh. 2 - Prob. 23TCh. 2 - Prob. 24TCh. 2 - 25 State De Morgan's laws for sets in words rather...Ch. 2 - Facts about Inventions The table lists ten...Ch. 2 - Prob. 27TCh. 2 - Prob. 28TCh. 2 - Prob. 29TCh. 2 - Financial Aid to College Students Three sources of...
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