Basic Technical Mathematics with Calculus (11th Edition)
Basic Technical Mathematics with Calculus (11th Edition)
11th Edition
ISBN: 9780134437736
Author: Allyn J. Washington, Richard Evans
Publisher: PEARSON
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Chapter 23.8, Problem 20E
To determine

To evaluate: The value of dydx by differentiating implicitly and to express the result in terms of x and y where ever applicable.

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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.)
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Chapter 23 Solutions

Basic Technical Mathematics with Calculus (11th Edition)

Ch. 23.1 - Prob. 7ECh. 23.1 - Prob. 8ECh. 23.1 - Prob. 9ECh. 23.1 - Prob. 10ECh. 23.1 - Prob. 11ECh. 23.1 - Prob. 12ECh. 23.1 - Prob. 13ECh. 23.1 - Prob. 14ECh. 23.1 - Prob. 15ECh. 23.1 - Prob. 16ECh. 23.1 - Prob. 17ECh. 23.1 - Prob. 18ECh. 23.1 - Prob. 19ECh. 23.1 - Prob. 20ECh. 23.1 - In Exercises 21–24, graph the function and...Ch. 23.1 - Prob. 22ECh. 23.1 - Prob. 23ECh. 23.1 - Prob. 24ECh. 23.1 - Prob. 25ECh. 23.1 - Prob. 26ECh. 23.1 - Prob. 27ECh. 23.1 - Prob. 28ECh. 23.1 - Prob. 29ECh. 23.1 - Prob. 30ECh. 23.1 - Prob. 31ECh. 23.1 - Prob. 32ECh. 23.1 - Prob. 33ECh. 23.1 - Prob. 34ECh. 23.1 - Prob. 35ECh. 23.1 - Prob. 36ECh. 23.1 - Prob. 37ECh. 23.1 - Prob. 38ECh. 23.1 - Prob. 39ECh. 23.1 - Prob. 40ECh. 23.1 - Prob. 41ECh. 23.1 - Prob. 42ECh. 23.1 - Prob. 43ECh. 23.1 - Prob. 44ECh. 23.1 - Prob. 45ECh. 23.1 - In Exercises 31–50, evaluate the indicated limits...Ch. 23.1 - In Exercises 31–50, evaluate the indicated limits...Ch. 23.1 - Prob. 48ECh. 23.1 - Prob. 49ECh. 23.1 - Prob. 50ECh. 23.1 - Prob. 51ECh. 23.1 - Prob. 52ECh. 23.1 - Prob. 53ECh. 23.1 - Prob. 54ECh. 23.1 - Prob. 55ECh. 23.1 - Prob. 56ECh. 23.1 - Prob. 57ECh. 23.1 - Prob. 58ECh. 23.1 - Prob. 59ECh. 23.1 - A 5-Ω resistor and a variable resistor of...Ch. 23.1 - Prob. 61ECh. 23.1 - Prob. 62ECh. 23.1 - Prob. 63ECh. 23.1 - Prob. 64ECh. 23.1 - Prob. 65ECh. 23.1 - Prob. 66ECh. 23.1 - Prob. 67ECh. 23.1 - Prob. 68ECh. 23.1 - Prob. 69ECh. 23.1 - Prob. 70ECh. 23.1 - Prob. 71ECh. 23.1 - Prob. 72ECh. 23.2 - Find the slope of a line tangent to the curve of y...Ch. 23.2 - Prob. 2PECh. 23.2 - Prob. 1ECh. 23.2 - Prob. 2ECh. 23.2 - In Exercises 3–6, use the method of Example 1 to...Ch. 23.2 - In Exercises 3–6, use the method of Example 1 to...Ch. 23.2 - Prob. 5ECh. 23.2 - Prob. 6ECh. 23.2 - In Exercises 7–10, use the method of Example 2 to...Ch. 23.2 - Prob. 8ECh. 23.2 - Prob. 9ECh. 23.2 - Prob. 10ECh. 23.2 - Prob. 11ECh. 23.2 - Prob. 12ECh. 23.2 - Prob. 13ECh. 23.2 - Prob. 14ECh. 23.2 - Prob. 15ECh. 23.2 - Prob. 16ECh. 23.2 - Prob. 17ECh. 23.2 - Prob. 18ECh. 23.2 - Prob. 19ECh. 23.2 - Prob. 20ECh. 23.2 - Prob. 21ECh. 23.2 - Prob. 22ECh. 23.2 - Prob. 23ECh. 23.2 - Prob. 24ECh. 23.2 - Prob. 25ECh. 23.2 - Prob. 26ECh. 23.2 - In Exercises 27–30, find the point(s) where the...Ch. 23.2 - Prob. 28ECh. 23.2 - Prob. 29ECh. 23.2 - Prob. 30ECh. 23.2 - Prob. 31ECh. 23.2 - Prob. 32ECh. 23.2 - Prob. 33ECh. 23.2 - Prob. 34ECh. 23.3 - Using the definiton, find the derivative of y = 5x...Ch. 23.3 - Prob. 2PECh. 23.3 - Prob. 1ECh. 23.3 - Prob. 2ECh. 23.3 - Prob. 3ECh. 23.3 - Prob. 4ECh. 23.3 - Prob. 5ECh. 23.3 - Prob. 6ECh. 23.3 - Prob. 7ECh. 23.3 - Prob. 8ECh. 23.3 - Prob. 9ECh. 23.3 - Prob. 10ECh. 23.3 - Prob. 11ECh. 23.3 - Prob. 12ECh. 23.3 - Prob. 13ECh. 23.3 - Prob. 14ECh. 23.3 - Prob. 15ECh. 23.3 - Prob. 16ECh. 23.3 - Prob. 17ECh. 23.3 - Prob. 18ECh. 23.3 - Prob. 19ECh. 23.3 - Prob. 20ECh. 23.3 - Prob. 21ECh. 23.3 - Prob. 22ECh. 23.3 - Prob. 23ECh. 23.3 - Prob. 24ECh. 23.3 - In Exercises 25–28, find the derivative of each...Ch. 23.3 - Prob. 26ECh. 23.3 - Prob. 27ECh. 23.3 - Prob. 28ECh. 23.3 - Prob. 29ECh. 23.3 - Prob. 30ECh. 23.3 - Prob. 31ECh. 23.3 - Prob. 32ECh. 23.3 - Prob. 33ECh. 23.3 - Prob. 34ECh. 23.3 - Prob. 35ECh. 23.3 - Prob. 36ECh. 23.3 - Prob. 37ECh. 23.3 - Prob. 38ECh. 23.3 - Prob. 39ECh. 23.3 - Prob. 40ECh. 23.4 - Prob. 1PECh. 23.4 - Prob. 2PECh. 23.4 - Prob. 1ECh. 23.4 - Prob. 2ECh. 23.4 - Prob. 3ECh. 23.4 - Prob. 4ECh. 23.4 - Prob. 5ECh. 23.4 - Prob. 6ECh. 23.4 - Prob. 7ECh. 23.4 - Prob. 8ECh. 23.4 - Prob. 9ECh. 23.4 - Prob. 10ECh. 23.4 - Prob. 11ECh. 23.4 - Prob. 12ECh. 23.4 - Prob. 13ECh. 23.4 - Prob. 14ECh. 23.4 - Prob. 15ECh. 23.4 - Prob. 16ECh. 23.4 - Prob. 17ECh. 23.4 - Prob. 18ECh. 23.4 - Prob. 19ECh. 23.4 - Prob. 20ECh. 23.4 - Prob. 21ECh. 23.4 - Prob. 22ECh. 23.4 - Prob. 23ECh. 23.4 - Prob. 24ECh. 23.4 - Prob. 25ECh. 23.4 - Prob. 26ECh. 23.4 - Prob. 27ECh. 23.4 - Prob. 28ECh. 23.4 - Prob. 29ECh. 23.4 - Prob. 30ECh. 23.4 - Prob. 31ECh. 23.4 - Prob. 32ECh. 23.4 - Prob. 33ECh. 23.4 - Prob. 34ECh. 23.4 - Prob. 35ECh. 23.4 - Prob. 36ECh. 23.4 - Prob. 37ECh. 23.4 - Prob. 38ECh. 23.4 - Prob. 39ECh. 23.4 - Prob. 40ECh. 23.4 - Prob. 41ECh. 23.4 - Prob. 42ECh. 23.4 - In Exercises 27–46, find the indicated...Ch. 23.4 - Prob. 44ECh. 23.4 - Prob. 45ECh. 23.4 - Prob. 46ECh. 23.5 - Prob. 1PECh. 23.5 - Prob. 2PECh. 23.5 - Prob. 1ECh. 23.5 - Prob. 2ECh. 23.5 - Prob. 3ECh. 23.5 - Prob. 4ECh. 23.5 - Prob. 5ECh. 23.5 - Prob. 6ECh. 23.5 - Prob. 7ECh. 23.5 - Prob. 8ECh. 23.5 - Prob. 9ECh. 23.5 - Prob. 10ECh. 23.5 - Prob. 11ECh. 23.5 - In Exercises 5–20, find the derivative of each of...Ch. 23.5 - Prob. 13ECh. 23.5 - Prob. 14ECh. 23.5 - Prob. 15ECh. 23.5 - Prob. 16ECh. 23.5 - Prob. 17ECh. 23.5 - Prob. 18ECh. 23.5 - Prob. 19ECh. 23.5 - Prob. 20ECh. 23.5 - Prob. 21ECh. 23.5 - Prob. 22ECh. 23.5 - Prob. 23ECh. 23.5 - Prob. 24ECh. 23.5 - Prob. 25ECh. 23.5 - Prob. 26ECh. 23.5 - Prob. 27ECh. 23.5 - Prob. 28ECh. 23.5 - Prob. 29ECh. 23.5 - Prob. 30ECh. 23.5 - Prob. 31ECh. 23.5 - Prob. 32ECh. 23.5 - Prob. 33ECh. 23.5 - Prob. 34ECh. 23.5 - Prob. 35ECh. 23.5 - Prob. 36ECh. 23.5 - Prob. 37ECh. 23.5 - Prob. 38ECh. 23.5 - Prob. 39ECh. 23.5 - Prob. 40ECh. 23.5 - Prob. 41ECh. 23.5 - Prob. 42ECh. 23.5 - Prob. 43ECh. 23.5 - Prob. 44ECh. 23.5 - Prob. 45ECh. 23.5 - Prob. 46ECh. 23.5 - Prob. 47ECh. 23.5 - Prob. 48ECh. 23.5 - Prob. 49ECh. 23.5 - Prob. 50ECh. 23.5 - Prob. 51ECh. 23.5 - Prob. 52ECh. 23.5 - Prob. 53ECh. 23.5 - Prob. 54ECh. 23.5 - Prob. 55ECh. 23.5 - Prob. 56ECh. 23.6 - Find the derivative of . Do not multiply factors...Ch. 23.6 - Prob. 2PECh. 23.6 - Prob. 1ECh. 23.6 - Prob. 2ECh. 23.6 - Prob. 3ECh. 23.6 - Prob. 4ECh. 23.6 - Prob. 5ECh. 23.6 - Prob. 6ECh. 23.6 - Prob. 7ECh. 23.6 - Prob. 8ECh. 23.6 - Prob. 9ECh. 23.6 - Prob. 10ECh. 23.6 - Prob. 11ECh. 23.6 - Prob. 12ECh. 23.6 - Prob. 13ECh. 23.6 - Prob. 14ECh. 23.6 - Prob. 15ECh. 23.6 - Prob. 16ECh. 23.6 - Prob. 17ECh. 23.6 - Prob. 18ECh. 23.6 - Prob. 19ECh. 23.6 - Prob. 20ECh. 23.6 - Prob. 21ECh. 23.6 - Prob. 22ECh. 23.6 - Prob. 23ECh. 23.6 - Prob. 24ECh. 23.6 - Prob. 25ECh. 23.6 - Prob. 26ECh. 23.6 - Prob. 27ECh. 23.6 - Prob. 28ECh. 23.6 - Prob. 29ECh. 23.6 - Prob. 30ECh. 23.6 - Prob. 31ECh. 23.6 - Prob. 32ECh. 23.6 - Prob. 33ECh. 23.6 - Prob. 34ECh. 23.6 - Prob. 35ECh. 23.6 - Prob. 36ECh. 23.6 - Prob. 37ECh. 23.6 - Prob. 38ECh. 23.6 - Prob. 39ECh. 23.6 - Prob. 40ECh. 23.6 - Prob. 41ECh. 23.6 - Prob. 42ECh. 23.6 - Prob. 43ECh. 23.6 - Prob. 44ECh. 23.6 - In Exercises 33–58, solve the given problems by...Ch. 23.6 - Prob. 46ECh. 23.6 - Prob. 47ECh. 23.6 - Prob. 48ECh. 23.6 - Prob. 49ECh. 23.6 - Prob. 50ECh. 23.6 - Prob. 51ECh. 23.6 - Prob. 52ECh. 23.6 - Prob. 53ECh. 23.6 - Prob. 54ECh. 23.6 - Prob. 55ECh. 23.6 - Prob. 56ECh. 23.6 - Prob. 57ECh. 23.6 - Prob. 58ECh. 23.7 - Prob. 1PECh. 23.7 - Prob. 2PECh. 23.7 - Prob. 3PECh. 23.7 - Prob. 4PECh. 23.7 - Prob. 1ECh. 23.7 - Prob. 2ECh. 23.7 - Prob. 3ECh. 23.7 - Prob. 4ECh. 23.7 - Prob. 5ECh. 23.7 - Prob. 6ECh. 23.7 - Prob. 7ECh. 23.7 - Prob. 8ECh. 23.7 - Prob. 9ECh. 23.7 - Prob. 10ECh. 23.7 - Prob. 11ECh. 23.7 - Prob. 12ECh. 23.7 - Prob. 13ECh. 23.7 - Prob. 14ECh. 23.7 - Prob. 15ECh. 23.7 - Prob. 16ECh. 23.7 - Prob. 17ECh. 23.7 - Prob. 18ECh. 23.7 - Prob. 19ECh. 23.7 - In Exercises 5–32, find the derivative of each of...Ch. 23.7 - Prob. 21ECh. 23.7 - Prob. 22ECh. 23.7 - Prob. 23ECh. 23.7 - Prob. 24ECh. 23.7 - Prob. 25ECh. 23.7 - Prob. 26ECh. 23.7 - In Exercises 5–32, find the derivative of each of...Ch. 23.7 - Prob. 28ECh. 23.7 - Prob. 29ECh. 23.7 - Prob. 30ECh. 23.7 - In Exercises 5–32, find the derivative of each of...Ch. 23.7 - Prob. 32ECh. 23.7 - Prob. 33ECh. 23.7 - Prob. 34ECh. 23.7 - Prob. 35ECh. 23.7 - Prob. 36ECh. 23.7 - Prob. 37ECh. 23.7 - Prob. 38ECh. 23.7 - Prob. 39ECh. 23.7 - Prob. 40ECh. 23.7 - Prob. 41ECh. 23.7 - Prob. 42ECh. 23.7 - Prob. 43ECh. 23.7 - Prob. 44ECh. 23.7 - Prob. 45ECh. 23.7 - Prob. 46ECh. 23.7 - Prob. 47ECh. 23.7 - Prob. 48ECh. 23.7 - Prob. 49ECh. 23.7 - Prob. 50ECh. 23.7 - Prob. 51ECh. 23.7 - Prob. 52ECh. 23.7 - Prob. 53ECh. 23.7 - Prob. 54ECh. 23.7 - Prob. 55ECh. 23.7 - Prob. 56ECh. 23.7 - Prob. 57ECh. 23.7 - Prob. 58ECh. 23.8 - Prob. 1PECh. 23.8 - Prob. 1ECh. 23.8 - Prob. 2ECh. 23.8 - In Exercises 3–22, find dy/dx by differentiating...Ch. 23.8 - Prob. 4ECh. 23.8 - Prob. 5ECh. 23.8 - Prob. 6ECh. 23.8 - Prob. 7ECh. 23.8 - Prob. 8ECh. 23.8 - Prob. 9ECh. 23.8 - Prob. 10ECh. 23.8 - Prob. 11ECh. 23.8 - Prob. 12ECh. 23.8 - Prob. 13ECh. 23.8 - Prob. 14ECh. 23.8 - Prob. 15ECh. 23.8 - Prob. 16ECh. 23.8 - Prob. 17ECh. 23.8 - Prob. 18ECh. 23.8 - Prob. 19ECh. 23.8 - Prob. 20ECh. 23.8 - Prob. 21ECh. 23.8 - Prob. 22ECh. 23.8 - Prob. 23ECh. 23.8 - Prob. 24ECh. 23.8 - Prob. 25ECh. 23.8 - Prob. 26ECh. 23.8 - Prob. 27ECh. 23.8 - Prob. 28ECh. 23.8 - Prob. 29ECh. 23.8 - Prob. 30ECh. 23.8 - Prob. 31ECh. 23.8 - Prob. 32ECh. 23.8 - Prob. 33ECh. 23.8 - Prob. 34ECh. 23.8 - Prob. 35ECh. 23.8 - Prob. 36ECh. 23.8 - Prob. 37ECh. 23.8 - Prob. 38ECh. 23.8 - Prob. 39ECh. 23.8 - Prob. 40ECh. 23.8 - Prob. 41ECh. 23.8 - Prob. 42ECh. 23.8 - Prob. 43ECh. 23.8 - Prob. 44ECh. 23.9 - Prob. 1PECh. 23.9 - Prob. 2PECh. 23.9 - Prob. 1ECh. 23.9 - Prob. 2ECh. 23.9 - Prob. 3ECh. 23.9 - Prob. 4ECh. 23.9 - Prob. 5ECh. 23.9 - Prob. 6ECh. 23.9 - Prob. 7ECh. 23.9 - Prob. 8ECh. 23.9 - Prob. 9ECh. 23.9 - Prob. 10ECh. 23.9 - Prob. 11ECh. 23.9 - Prob. 12ECh. 23.9 - Prob. 13ECh. 23.9 - Prob. 14ECh. 23.9 - Prob. 15ECh. 23.9 - Prob. 16ECh. 23.9 - Prob. 17ECh. 23.9 - Prob. 18ECh. 23.9 - Prob. 19ECh. 23.9 - Prob. 20ECh. 23.9 - Prob. 21ECh. 23.9 - Prob. 22ECh. 23.9 - Prob. 23ECh. 23.9 - Prob. 24ECh. 23.9 - Prob. 25ECh. 23.9 - Prob. 26ECh. 23.9 - Prob. 27ECh. 23.9 - Prob. 28ECh. 23.9 - Prob. 29ECh. 23.9 - Prob. 30ECh. 23.9 - Prob. 31ECh. 23.9 - Prob. 32ECh. 23.9 - Prob. 33ECh. 23.9 - Prob. 34ECh. 23.9 - Prob. 35ECh. 23.9 - Prob. 36ECh. 23.9 - Prob. 37ECh. 23.9 - Prob. 38ECh. 23.9 - Prob. 39ECh. 23.9 - Prob. 40ECh. 23.9 - Prob. 41ECh. 23.9 - Prob. 42ECh. 23.9 - Prob. 43ECh. 23.9 - Prob. 44ECh. 23.9 - Prob. 45ECh. 23.9 - Prob. 46ECh. 23.9 - Prob. 47ECh. 23.9 - Prob. 48ECh. 23.9 - Prob. 49ECh. 23.9 - Prob. 50ECh. 23.9 - Prob. 51ECh. 23.9 - Prob. 52ECh. 23 - Prob. 1RECh. 23 - Prob. 2RECh. 23 - Prob. 3RECh. 23 - Prob. 4RECh. 23 - Prob. 5RECh. 23 - Prob. 6RECh. 23 - Prob. 7RECh. 23 - Prob. 8RECh. 23 - Prob. 9RECh. 23 - Prob. 10RECh. 23 - Prob. 11RECh. 23 - Prob. 12RECh. 23 - Prob. 13RECh. 23 - Prob. 14RECh. 23 - Prob. 15RECh. 23 - Prob. 16RECh. 23 - Prob. 17RECh. 23 - Prob. 18RECh. 23 - Prob. 19RECh. 23 - Prob. 20RECh. 23 - In Exercises 21–28, use the definition to find the...Ch. 23 - Prob. 22RECh. 23 - Prob. 23RECh. 23 - Prob. 24RECh. 23 - Prob. 25RECh. 23 - Prob. 26RECh. 23 - Prob. 27RECh. 23 - Prob. 28RECh. 23 - Prob. 29RECh. 23 - Prob. 30RECh. 23 - Prob. 31RECh. 23 - Prob. 32RECh. 23 - Prob. 33RECh. 23 - Prob. 34RECh. 23 - Prob. 35RECh. 23 - Prob. 36RECh. 23 - Prob. 37RECh. 23 - Prob. 38RECh. 23 - Prob. 39RECh. 23 - Prob. 40RECh. 23 - Prob. 41RECh. 23 - Prob. 42RECh. 23 - Prob. 43RECh. 23 - Prob. 44RECh. 23 - Prob. 45RECh. 23 - Prob. 46RECh. 23 - Prob. 47RECh. 23 - Prob. 48RECh. 23 - Prob. 49RECh. 23 - Prob. 50RECh. 23 - Prob. 51RECh. 23 - Prob. 52RECh. 23 - Prob. 53RECh. 23 - Prob. 54RECh. 23 - Prob. 55RECh. 23 - Prob. 56RECh. 23 - Prob. 57RECh. 23 - Prob. 58RECh. 23 - Prob. 59RECh. 23 - Prob. 60RECh. 23 - Prob. 61RECh. 23 - Prob. 62RECh. 23 - Prob. 63RECh. 23 - Prob. 64RECh. 23 - If $5000 is invested at interest rate i,...Ch. 23 - The temperature T (in °C) of a rotating machine...Ch. 23 - Prob. 67RECh. 23 - Prob. 68RECh. 23 - Prob. 69RECh. 23 - Prob. 70RECh. 23 - Prob. 71RECh. 23 - Prob. 72RECh. 23 - Prob. 73RECh. 23 - Prob. 74RECh. 23 - Prob. 75RECh. 23 - Prob. 76RECh. 23 - Prob. 77RECh. 23 - Prob. 78RECh. 23 - Prob. 79RECh. 23 - Prob. 80RECh. 23 - Prob. 81RECh. 23 - Prob. 82RECh. 23 - Prob. 83RECh. 23 - Prob. 84RECh. 23 - Prob. 85RECh. 23 - Prob. 86RECh. 23 - Prob. 87RECh. 23 - Prob. 88RECh. 23 - Prob. 89RECh. 23 - Prob. 90RECh. 23 - Prob. 91RECh. 23 - Prob. 92RECh. 23 - Prob. 93RECh. 23 - Prob. 94RECh. 23 - Prob. 95RECh. 23 - Prob. 96RECh. 23 - Prob. 97RECh. 23 - Prob. 98RECh. 23 - In Exercises 53–98, solve the given problems. 99....Ch. 23 - Prob. 1PTCh. 23 - Prob. 2PTCh. 23 - Prob. 3PTCh. 23 - Prob. 4PTCh. 23 - Prob. 5PTCh. 23 - Prob. 6PTCh. 23 - Prob. 7PTCh. 23 - Prob. 8PTCh. 23 - Prob. 9PTCh. 23 - Prob. 10PT
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