EBK FUNDAMENTALS OF BIOSTATISTICS
8th Edition
ISBN: 9780101123402
Author: Rosner
Publisher: YUZU
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Chapter 2.8, Problem B.1RE
What is a stem-and-leaf plot? How does it differ from a bar graph?
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Strength of the relationship (strong/moderate/weak):
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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
EBK FUNDAMENTALS OF BIOSTATISTICS
Ch. 2.6 - When is it appropriate to use the arithmetic mean...Ch. 2.6 - How does the geometric mean differ from the...Ch. 2.6 - What is the difference between the standard...Ch. 2.8 - What is a stem-and-leaf plot? How does it differ...Ch. 2.8 - Prob. B.2RECh. 2.8 - Consider the stem-and-leaf plot in Figure 2.6. Is...Ch. 2.8 - What is a box plot? What additional information...Ch. 2 - The data in Table 2.13 are a sample from a larger...Ch. 2 - The data in Table 2.13 are a sample from a larger...Ch. 2 - It is of clinical interest to know if the duration...
Ch. 2 - Suppose the scale for a data set is changed by...Ch. 2 - Suppose the scale for a data set is changed by...Ch. 2 - Suppose the scale for a data set is changed by...Ch. 2 - Suppose the scale for a data set is changed by...Ch. 2 - A man runs 1 mile approximately once per weekend....Ch. 2 - A man runs 1 mile approximately once per weekend....Ch. 2 - A man runs 1 mile approximately once per weekend....Ch. 2 - A man runs 1 mile approximately once per weekend....Ch. 2 - A man runs 1 mile approximately once per weekend....Ch. 2 - The data in Table 2.15 are a sample of cholesterol...Ch. 2 - The data in Table 2.15 are a sample of cholesterol...Ch. 2 - The data in Table 2.15 are a sample of cholesterol...Ch. 2 - The data in Table 2.15 are a sample of cholesterol...Ch. 2 - The data in Table 2.15 are a sample of cholesterol...Ch. 2 - In an experiment that examined the effect of body...Ch. 2 - In an experiment that examined the effect of body...Ch. 2 - Table 2.17 Format for FEV.DAT The data in Table...Ch. 2 - Forced expiratory volume (FEV) is an index of...Ch. 2 - Forced expiratory volume (FEV) is an index of...Ch. 2 - Prob. 26PCh. 2 - The food-frequency questionnaire (FFQ) is an...Ch. 2 - In Section 2.9, we described Data Set LEAD.DAT (at...Ch. 2 - In Section 2.9, we described Data Set LEAD.DAT (at...Ch. 2 - Activated-protein-C (APC) resistance is a serum...Ch. 2 - Activated-protein-C (APC) resistance is a serum...Ch. 2 - A study was conducted to demonstrate that soy...Ch. 2 - A study was conducted to demonstrate that soy...Ch. 2 - A study was conducted to demonstrate that soy...Ch. 2 - Prob. 38PCh. 2 - In Section 2.10, we described Data Set BONEDEN.DAT...Ch. 2 - What impression do you have of the relationship...Ch. 2 - In Section 2.10, we described Data Set BONEDEN.DAT...Ch. 2 - In Section 2.10, we described Data Set BONEDEN.DAT...Ch. 2 - Prob. 43PCh. 2 - Prob. 44PCh. 2 - Prob. 45PCh. 2 - Answer Problems 2.382.40 for BMD for the femoral...Ch. 2 - The Left Ventricular Mass lndex (LVMI) is a...Ch. 2 - Prob. 48PCh. 2 - Prob. 49PCh. 2 - The Left Ventricular Mass lndex (LVMI) is a...
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