Mathematics: A Discrete Introduction
3rd Edition
ISBN: 9780840049421
Author: Edward A. Scheinerman
Publisher: Cengage Learning
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Chapter 2.11, Problem 11.5E
i.
To determine
To rewrite the negation of the sentence by placing the negation symbol as far to the right as possible.
ii.
To determine
To rewrite the negation of the sentence by placing the negation symbol as far to the right as possible.
iii.
To determine
To rewrite the negation of the sentence by placing the negation symbol as far to the right as possible.
iv.
To determine
To rewrite the negation of the sentence by placing the negation symbol as far to the right as possible.
v.
To determine
To rewrite the negation of the sentence by placing the negation symbol as far to the right as possible.
vi.
To determine
To rewrite the negation of the sentence by placing the negation symbol as far to the right as possible.
vii.
To determine
To rewrite the negation of the sentence by placing the negation symbol as far to the right as possible.
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The Course Name Real Analysis please Solve questions by Real Analysis
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
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Σ=
-0.1
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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
Question 1. Your manager asks you to explain why the Black-Scholes model may be inappro-
priate for pricing options in practice. Give one reason that would substantiate this claim?
Question 2. We consider stock #1 and stock #2 in the model of Problem 2. Your manager
asks you to pick only one of them to invest in based on the model provided. Which one do you
choose and why ?
Question 3. Let (St) to be an asset modeled by the Black-Scholes SDE. Let Ft be the price
at time t of a European put with maturity T and strike price K. Then, the discounted option
price process (ert Ft) t20 is a martingale. True or False? (Explain your answer.)
Question 4. You are considering pricing an American put option using a Black-Scholes model
for the underlying stock. An explicit formula for the price doesn't exist. In just a few words (no
more than 2 sentences), explain how you would proceed to price it.
Question 5. We model a short rate with a Ho-Lee model drt = ln(1+t) dt +2dWt. Then the
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Chapter 2 Solutions
Mathematics: A Discrete Introduction
Ch. 2.8 - Write out all the possible two-letter words one...Ch. 2.8 - Airports have names, but they also have...Ch. 2.8 - Prob. 8.3ECh. 2.8 - Prob. 8.4ECh. 2.8 - Prob. 8.5ECh. 2.8 - Prob. 8.6ECh. 2.8 - Prob. 8.7ECh. 2.8 - Prob. 8.8ECh. 2.8 - Prob. 8.9ECh. 2.8 - Prob. 8.10E
Ch. 2.8 - Prob. 8.11ECh. 2.8 - Prob. 8.12ECh. 2.8 - Prob. 8.13ECh. 2.8 - Prob. 8.14ECh. 2.8 - Prob. 8.15ECh. 2.8 - Prob. 8.16ECh. 2.8 - Prob. 8.17ECh. 2.8 - Prob. 8.18ECh. 2.8 - Prob. 8.19ECh. 2.9 - Prob. 9.1ECh. 2.9 - Prob. 9.2ECh. 2.9 - Prob. 9.3ECh. 2.9 - Prob. 9.4ECh. 2.9 - Prob. 9.5ECh. 2.9 - Prob. 9.6ECh. 2.9 - Prob. 9.7ECh. 2.9 - Prob. 9.8ECh. 2.9 - Prob. 9.9ECh. 2.9 - Prob. 9.10ECh. 2.9 - Prob. 9.11ECh. 2.9 - Prob. 9.12ECh. 2.9 - Prob. 9.13ECh. 2.9 - Prob. 9.14ECh. 2.9 - Prob. 9.15ECh. 2.9 - Prob. 9.16ECh. 2.9 - Prob. 9.17ECh. 2.9 - Prob. 9.18ECh. 2.10 - Prob. 10.1ECh. 2.10 - Prob. 10.2ECh. 2.10 - Prob. 10.3ECh. 2.10 - Prob. 10.4ECh. 2.10 - Prob. 10.5ECh. 2.10 - Prob. 10.6ECh. 2.10 - Prob. 10.7ECh. 2.10 - Prob. 10.8ECh. 2.10 - Prob. 10.9ECh. 2.10 - Let A=x:4x and let B=x:2x. Prove that AB.Ch. 2.10 - Prob. 10.11ECh. 2.10 - Prob. 10.12ECh. 2.10 - Prob. 10.13ECh. 2.10 - Prob. 10.14ECh. 2.10 - Prob. 10.15ECh. 2.11 - Write the following sentences using the quantifier...Ch. 2.11 - Prob. 11.2ECh. 2.11 - Prob. 11.3ECh. 2.11 - Prob. 11.4ECh. 2.11 - Prob. 11.5ECh. 2.11 - Prob. 11.6ECh. 2.11 - Prob. 11.7ECh. 2.11 - Prob. 11.8ECh. 2.12 - Prob. 12.1ECh. 2.12 - Prob. 12.2ECh. 2.12 - Prob. 12.3ECh. 2.12 - Prob. 12.4ECh. 2.12 - Prob. 12.5ECh. 2.12 - Prob. 12.6ECh. 2.12 - Prob. 12.7ECh. 2.12 - Prob. 12.8ECh. 2.12 - Prob. 12.9ECh. 2.12 - Prob. 12.10ECh. 2.12 - Prob. 12.11ECh. 2.12 - Prob. 12.12ECh. 2.12 - Prob. 12.13ECh. 2.12 - Prob. 12.14ECh. 2.12 - Prob. 12.15ECh. 2.12 - Prob. 12.16ECh. 2.12 - Prob. 12.17ECh. 2.12 - Prob. 12.18ECh. 2.12 - Prob. 12.19ECh. 2.12 - Prob. 12.20ECh. 2.12 - Prob. 12.21ECh. 2.12 - Prob. 12.22ECh. 2.12 - Prob. 12.23ECh. 2.12 - Prob. 12.24ECh. 2.12 - Prob. 12.25ECh. 2.12 - Prob. 12.26ECh. 2.12 - Prob. 12.27ECh. 2.12 - Prob. 12.28ECh. 2.12 - Prob. 12.29ECh. 2.12 - Prob. 12.30ECh. 2.13 - Prob. 13.1ECh. 2.13 - Prob. 13.2ECh. 2.13 - Prob. 13.3ECh. 2.13 - Prob. 13.4ECh. 2.13 - Prob. 13.5ECh. 2.13 - Prob. 13.6ECh. 2.13 - Prob. 13.7ECh. 2 - Prob. 1STCh. 2 - Prob. 2STCh. 2 - Prob. 3STCh. 2 - Prob. 4STCh. 2 - Prob. 5STCh. 2 - Prob. 6STCh. 2 - Prob. 7STCh. 2 - Prob. 8STCh. 2 - Prob. 9STCh. 2 - Prob. 10STCh. 2 - Prob. 11STCh. 2 - Prob. 12STCh. 2 - Prob. 13STCh. 2 - Prob. 14STCh. 2 - Prob. 15STCh. 2 - Prob. 16STCh. 2 - Prob. 17STCh. 2 - Prob. 18STCh. 2 - Prob. 19STCh. 2 - Prob. 20ST
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