Numerical Analysis
10th Edition
ISBN: 9781305253667
Author: Richard L. Burden, J. Douglas Faires, Annette M. Burden
Publisher: Cengage Learning
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Chapter 2.3, Problem 11ES
a.
To determine
The solution of the equation
b.
To determine
The solution of the equation
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Question 2. An American option on a stock has payoff given by F = f(St) when it is exercised
at time t. We know that the function f is convex. A person claims that because of convexity,
it is optimal to exercise at expiration T. Do you agree with them?
Question 4. We consider a CRR model with So == 5 and up and down factors u = 1.03 and
d = 0.96. We consider the interest rate r = 4% (over one period). Is this a suitable CRR
model? (Explain your answer.)
Question 3. We want to price a put option with strike price K and expiration T. Two financial
advisors estimate the parameters with two different statistical methods: they obtain the same
return rate μ, the same volatility σ, but the first advisor has interest r₁ and the second advisor
has interest rate r2 (r1>r2). They both use a CRR model with the same number of periods to
price the option. Which advisor will get the larger price? (Explain your answer.)
Chapter 2 Solutions
Numerical Analysis
Ch. 2.1 - Use the Bisection method to find p3 for f(x)=xcosx...Ch. 2.1 - Let f(x) = 3(x +1)(x 12)(x 1) = 0. Use the...Ch. 2.1 - Use the Bisection method to find solutions...Ch. 2.1 - Use the Bisection method to find solutions...Ch. 2.1 - Use the Bisection method to find solutions...Ch. 2.1 - Prob. 7ESCh. 2.1 - Prob. 8ESCh. 2.1 - Prob. 9ESCh. 2.1 - Prob. 10ESCh. 2.1 - Prob. 11ES
Ch. 2.1 - Let f(x) = (x + 2)(x + 1)x(x 1)3(x 2). To which...Ch. 2.1 - Find an approximation to 253 correct to within 104...Ch. 2.1 - Find an approximation to 3 correct to within 104...Ch. 2.1 - A trough of length L has a cross section in the...Ch. 2.1 - Use Theorem 2.1 to find a bound for the number of...Ch. 2.1 - Prob. 18ESCh. 2.1 - Prob. 19ESCh. 2.1 - Let f(x) = (x 1)10, p = 1, and pn = 1 + 1/n. Show...Ch. 2.1 - The function defined by f(x) = sin x has zeros at...Ch. 2.1 - Prob. 1DQCh. 2.1 - Prob. 2DQCh. 2.1 - Is the Bisection method sensitive to the starting...Ch. 2.2 - Use algebraic manipulation to show that each of...Ch. 2.2 - a. Perform four iterations, if possible, on each...Ch. 2.2 - Let f(x) = x3 2x + 1. To solve f(x) = 0, the...Ch. 2.2 - Let f(x) = x4 + 3x2 2. To solve f(x) = 0, the...Ch. 2.2 - The following four methods are proposed to compute...Ch. 2.2 - Prob. 6ESCh. 2.2 - Prob. 7ESCh. 2.2 - Prob. 8ESCh. 2.2 - Use Theorem 2.3 to show that g(x) = + 0.5...Ch. 2.2 - Use Theorem 2.3 to show that g(x) = 2x has a...Ch. 2.2 - Use a fixed-point iteration method to find an...Ch. 2.2 - Use a fixed-point iteration method to determine a...Ch. 2.2 - Use a fixed-point iteration method to determine a...Ch. 2.2 - Prob. 20ESCh. 2.2 - Prob. 21ESCh. 2.2 - a. Show that Theorem 2.3 is true if the inequality...Ch. 2.2 - a. Use Theorem 2.4 to show that the sequence...Ch. 2.2 - Prob. 24ESCh. 2.2 - Prob. 25ESCh. 2.2 - Suppose that g is continuously differentiable on...Ch. 2.3 - Let f(x) = x2 6 and p0 = 1. Use Newtons method to...Ch. 2.3 - Let f(x) = x3 cos x and p0 = 1. Use Newtons...Ch. 2.3 - Let f(x) = x2 6. With p0 = 3 and p1 = 2, find p3....Ch. 2.3 - Let f(x) = x3 cos x. With p0 = 1 and p1 = 0, find...Ch. 2.3 - Prob. 11ESCh. 2.3 - Prob. 12ESCh. 2.3 - The fourth-degree polynomial...Ch. 2.3 - Prob. 14ESCh. 2.3 - Prob. 15ESCh. 2.3 - Prob. 16ESCh. 2.3 - Prob. 22ESCh. 2.3 - Prob. 23ESCh. 2.3 - Prob. 24ESCh. 2.3 - Prob. 25ESCh. 2.3 - Prob. 27ESCh. 2.3 - A drug administered to a patient produces a...Ch. 2.3 - Prob. 30ESCh. 2.3 - Prob. 32ESCh. 2.3 - Prob. 1DQCh. 2.3 - Prob. 2DQCh. 2.3 - Prob. 3DQCh. 2.3 - Prob. 4DQCh. 2.4 - Prob. 6ESCh. 2.4 - a. Show that for any positive integer k, the...Ch. 2.4 - Prob. 8ESCh. 2.4 - a. Construct a sequence that converges to 0 of...Ch. 2.4 - Prob. 10ESCh. 2.4 - Prob. 11ESCh. 2.4 - Prob. 12ESCh. 2.4 - Prob. 13ESCh. 2.4 - Prob. 14ESCh. 2.4 - Prob. 1DQCh. 2.4 - Prob. 2DQCh. 2.4 - Prob. 4DQCh. 2.5 - Let g(x) = cos(x 1) and p0(0) = 2. Use...Ch. 2.5 - Prob. 4ESCh. 2.5 - Prob. 5ESCh. 2.5 - Prob. 6ESCh. 2.5 - Use Steffensens method to find, to an accuracy of...Ch. 2.5 - Prob. 8ESCh. 2.5 - Prob. 9ESCh. 2.5 - Use Steffensens method with p0 = 3 to compute an...Ch. 2.5 - Use Steffensens method to approximate the...Ch. 2.5 - Prob. 12ESCh. 2.5 - Prob. 13ESCh. 2.5 - Prob. 14ES
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