Discrete Mathematics
5th Edition
ISBN: 9780134689562
Author: Dossey, John A.
Publisher: Pearson,
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Chapter 3.1, Problem 26E
To determine
The value of the operation
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The purpose of this problem is to solve the Black-Scholes PDE with analytical techniques,
which will lead us back to the Black-Scholes formula. The technique is very similar to the
one used with the Feynman-Kac formula back in MATH 467.
Let's consider the PDE given by
with terminal condition f(T,x)
af
+
Ət
1
02
ર
.2მ2 f
af
მ2
+rx
მე
- rf = 0,
=
(x-K)+. The solution f(t, x) corresponds to the price
of a call option (given the initial condition) at time t if the stock price is x.
(a) The first two things that prevent us from solving this PDE directly are
(i) the fact that we have a terminal condition, instead of an initial condition;
(ii) the terms in front of the derivatives are not constant.
To address these, we use the transformation g(t, x) = ƒ(T − t,e³), equivalent to
f(t, x) = g(T-t, log(x)). Under this condition, determine the PDE and the initial
condition satisfied by g.
(b) Now, the PDE obtained in (a) should have an initial condition and constant coeffi-
cients, but it still…
٣:٥٣
النموذج الاول
. . .
O O O
بشما ند الحمر الحمر
الجمهورية الجنية
وزارة التربية والتعليم
اليوم
التاريخ
اللجنة العليا للاختبارات
الزمن
اختبار مادة الجبر والهندسة
لجنة المطابع السرية المركزية
للشهادة الثانوية العامة (القسم العلمي)
الفترة
%97
(1)
ظلل في ورقة الإجابة الدائرة التي تحتوي على الحرف ( ص ) للإجابة الصحيحة والحرف ( خ ) للإجابة الخطأ بحسب رقم الفقرة لكل مما يأتي ( درجة لكل فقرة )
)1
)
2
)
3
)
4
) بؤرة القطع س" = ١٢ ص هي (
۲
) طول المحور الأصغر للقطع ٩ س + ص = ٩ يساوي 6 وحدات طول .
) إذا كان & عدد مركب ، 181 + 11 = ٦ ، فإن ١١ = ٣ .
) إذا كان م + ۳ ت = ۲ + ت ب م ، ب دع ، فإن م + ب =
5 ( ) إذا كان & = ۱ + ٣ ت ، فإن ٠ = ١٠ .
6 ( - ) إذا كان ٥٠ - ٣ - ١٢٠ ٤ - ٣ ، فإن قيمة ٧ = ٥ .
1
)
=
N
) إذا كان ح هو الحد الخالي من س في المفكوك ( س +
v. N
8 ( ( قيمة المقدار , = + ۱ ، * . . +
، فإن قيمة ٧ = ١٦ .
۱ +
9 ( ) المستقيمان المقاربان للقطع الذي معادلته س" = ١ هما ص = :
۹
10 ( ) إذا كان ٥ + س = ٢٤ ، فإن قيمة س = - 1
س
11 ( ) إذا كانت النسبة بين الحدين الأوسطين تساوي 9 في المفكوك ( س + - ) ،…
الاسم
يمنع استخدام الآلة الحاسبة
ظلل في ورقة الإجابة الدائرة التي تحتوي على الحرف (ص) للإجابة الصحيحة والحرف (خ) للإجابة الخطأ بحسب رقم الفقرة لكل مما يأتي:
درجة لكل فقرة.
( ) نها جا
元
جتا
= صفر
س ۱
س
س -۱
( ) يمكن إعادة تعريف الدالة د(س) = س قاس لكي تكون متصلة عند س = 7
( ) إذا كانت د(س) = (٢) س - س ) ؛ فإن د(١) = ٦
٢ س ص ( ) إذا كانت س +
0=
؛ فإن عند ) - ١ ، - ٦ ) تساوي (٦)
( ) إذا كانت د(س) = س ه ، و (س) = ٣ س ٢ + ٢ س ؛ فإن ( د ) (۱) = ۸
) ( معادلة ناظم الدالة ص = د(س) عند النقطة ) ( ، د (۲)) هي ص - (د (م) - - د (۲) ( س - م )
( ) إذا كانت ص = ظتا٢ س ؛ فإن ص = ٢ ص قتا ٢س
) ( إذا كانت د(س) = س ؛ فإن د (T) =
جتاس
1-
T
( ) إذا كانت د(س) = 1 - جناس
جاس
؛ فإن د () = - 1
( ) إذا كانت الدالة د (س) تحقق شروط مبرهنة القيمة المتوسطة على [ ، ب ] ، فإنه يوجد جـ ] ، ب [ بحيث (جـ) =
(P) + (~)- -
ب + P
1
2
3
4
5
6
7
8
9
10
11
( ) للدالة د(س) = لو ( س ) + (٣) نقطة حرجة عند س = .
( ) إذا كان س = - ٢ مقارباً رأسياً للدالة د(س)
12
10 13
14
15
16
17
س = لو|س | + ث
-
=
۲ س + ٣
ب س + ٤ ، فإن معادلة…
Chapter 3 Solutions
Discrete Mathematics
Ch. 3.1 - In Exercises 1–8, find the quotient and remainder...Ch. 3.1 - Prob. 2ECh. 3.1 - Prob. 3ECh. 3.1 - In Exercises 1–8, find the quotient and remainder...Ch. 3.1 - In Exercises 1–8, find the quotient and remainder...Ch. 3.1 - Prob. 6ECh. 3.1 - Prob. 7ECh. 3.1 - Prob. 8ECh. 3.1 - Prob. 9ECh. 3.1 - Prob. 10E
Ch. 3.1 - Prob. 11ECh. 3.1 - Prob. 12ECh. 3.1 - Prob. 13ECh. 3.1 - In Exercises 9–16, determine whether p ≡ q (mod...Ch. 3.1 - Prob. 15ECh. 3.1 - Prob. 16ECh. 3.1 - Prob. 17ECh. 3.1 - Prob. 18ECh. 3.1 - Prob. 19ECh. 3.1 - In Exercises 17–36, perform the indicated...Ch. 3.1 - Prob. 21ECh. 3.1 - Prob. 22ECh. 3.1 - Prob. 23ECh. 3.1 - Prob. 24ECh. 3.1 - Prob. 25ECh. 3.1 - Prob. 26ECh. 3.1 - Prob. 27ECh. 3.1 - In Exercises 17–36, perform the indicated...Ch. 3.1 - Prob. 29ECh. 3.1 - Prob. 30ECh. 3.1 - Prob. 31ECh. 3.1 - Prob. 32ECh. 3.1 - Prob. 33ECh. 3.1 - In Exercises 17–36, perform the indicated...Ch. 3.1 - Prob. 35ECh. 3.1 - Prob. 36ECh. 3.1 - Prob. 37ECh. 3.1 - A hospital heart monitoring device uses two feet...Ch. 3.1 - Prob. 39ECh. 3.1 - Use Example 3.2 to determine the correct check...Ch. 3.1 - Prob. 41ECh. 3.1 - Federal Express packages carry a 10-digit...Ch. 3.1 - Prob. 43ECh. 3.1 - Use the formula in Example 3.7 to determine all...Ch. 3.1 - Let A denote the equivalence class containing 4 in...Ch. 3.1 - Prob. 46ECh. 3.1 - Let R be the equivalence relation defined in...Ch. 3.1 - Show that there exist integers m, x, and y such...Ch. 3.1 - Prob. 49ECh. 3.1 - A project has the nine tasks T1, T2, T3, T4, T5,...Ch. 3.1 - Prob. 51ECh. 3.1 - Prob. 52ECh. 3.2 - List, in increasing order, the divisors of 45
Ch. 3.2 - Prob. 2ECh. 3.2 - Prob. 3ECh. 3.2 - List, in increasing order, the common divisors of...Ch. 3.2 - Prob. 5ECh. 3.2 - Prob. 6ECh. 3.2 - Prob. 7ECh. 3.2 - Prob. 8ECh. 3.2 - Prob. 9ECh. 3.2 - In Exercises 5–10, make a table such as the one...Ch. 3.2 - Prob. 11ECh. 3.2 - Prob. 12ECh. 3.2 - Prob. 13ECh. 3.2 - Prob. 14ECh. 3.2 - Prob. 15ECh. 3.2 - Prob. 16ECh. 3.2 - Prob. 17ECh. 3.2 - In Exercises 13–18, make a table such as the one...Ch. 3.2 - Prob. 19ECh. 3.2 - In Exercises 19–22, use the Euclidean algorithm to...Ch. 3.2 - Prob. 21ECh. 3.2 - Prob. 22ECh. 3.2 - Prob. 23ECh. 3.2 - Prob. 24ECh. 3.2 - Prob. 25ECh. 3.2 - In Exercises 23–26, use the extended Euclidean...Ch. 3.2 - Prob. 27ECh. 3.2 - Prob. 28ECh. 3.2 - Prob. 29ECh. 3.2 - Prob. 30ECh. 3.2 - Prob. 31ECh. 3.2 - Prob. 32ECh. 3.2 - Prob. 33ECh. 3.3 - Prob. 1ECh. 3.3 - In Exercises 1–4, change the given plaintext...Ch. 3.3 - Prob. 3ECh. 3.3 - In Exercises 1–4, change the given plaintext...Ch. 3.3 - Prob. 5ECh. 3.3 - In Exercises 5–10, apply the modular...Ch. 3.3 - Prob. 7ECh. 3.3 - In Exercises 5–10, apply the modular...Ch. 3.3 - Prob. 9ECh. 3.3 - Prob. 10ECh. 3.3 - Prob. 11ECh. 3.3 - In Exercises 11–14, find b corresponding to the...Ch. 3.3 - Prob. 13ECh. 3.3 - Prob. 14ECh. 3.3 - Prob. 15ECh. 3.3 - Prob. 16ECh. 3.3 - Prob. 17ECh. 3.3 - Prob. 18ECh. 3.3 - Prob. 19ECh. 3.3 - In Exercises 15–22, use the extended Euclidean...Ch. 3.3 - Prob. 21ECh. 3.3 - Prob. 22ECh. 3.3 - Prob. 23ECh. 3.3 - Suppose n = 93, E = 17, and the ciphertext message...Ch. 3.3 - Prob. 25ECh. 3.3 - Prob. 26ECh. 3.3 - Prob. 27ECh. 3.3 - Prob. 28ECh. 3.3 - Prob. 29ECh. 3.3 - Prob. 30ECh. 3.3 - Prob. 31ECh. 3.3 - Prob. 32ECh. 3.3 - Prob. 33ECh. 3.3 - Prob. 34ECh. 3.3 - Prob. 35ECh. 3.3 - Prob. 36ECh. 3.3 - Prob. 37ECh. 3.4 - In Exercises 1–8, determine the parity check digit...Ch. 3.4 - In Exercises 1–8, determine the parity check digit...Ch. 3.4 - Prob. 3ECh. 3.4 - Prob. 4ECh. 3.4 - Prob. 5ECh. 3.4 - Prob. 6ECh. 3.4 - Prob. 7ECh. 3.4 - In Exercises 1–8, determine the parity check digit...Ch. 3.4 - Prob. 9ECh. 3.4 - Prob. 10ECh. 3.4 - Prob. 11ECh. 3.4 - In Exercises 9–16, use formula (3.1) to determine...Ch. 3.4 - Prob. 13ECh. 3.4 - In Exercises 9–16, use formula (3.1) to determine...Ch. 3.4 - Prob. 15ECh. 3.4 - Prob. 16ECh. 3.4 - Prob. 17ECh. 3.4 - In Exercises 17–24, determine the Hamming distance...Ch. 3.4 - Prob. 19ECh. 3.4 - Prob. 20ECh. 3.4 - Prob. 21ECh. 3.4 - Prob. 22ECh. 3.4 - Prob. 23ECh. 3.4 - Prob. 24ECh. 3.4 - Prob. 25ECh. 3.4 - Prob. 26ECh. 3.4 - Prob. 27ECh. 3.4 - Prob. 28ECh. 3.4 - Prob. 29ECh. 3.4 - Prob. 30ECh. 3.4 - Prob. 31ECh. 3.4 - In Exercises 25–32, add the given codewords using...Ch. 3.4 - In Exercises 33–36, suppose that the minimal...Ch. 3.4 - In Exercises 33–36, suppose that the minimal...Ch. 3.4 - In Exercises 33–36, suppose that the minimal...Ch. 3.4 - Prob. 36ECh. 3.4 - Prob. 37ECh. 3.4 - Prob. 38ECh. 3.4 - Prob. 39ECh. 3.4 - Prob. 41ECh. 3.5 - Prob. 1ECh. 3.5 - In Exercises 1–4, determine the number of words in...Ch. 3.5 - Prob. 3ECh. 3.5 - Prob. 4ECh. 3.5 - Prob. 5ECh. 3.5 - Prob. 6ECh. 3.5 - Prob. 7ECh. 3.5 - In Exercises 5–8, suppose that the generator...Ch. 3.5 - Prob. 9ECh. 3.5 - Prob. 10ECh. 3.5 - In Exercises 9–12, determine the size of the check...Ch. 3.5 - In Exercises 9–12, determine the size of the check...Ch. 3.5 - If the check matrix of a matrix code is a 9 × 3...Ch. 3.5 - If the check matrix of a matrix code is an 11 × 4...Ch. 3.5 - Prob. 15ECh. 3.5 - In Exercises 15–20, determine all the codewords...Ch. 3.5 - Prob. 17ECh. 3.5 - Prob. 18ECh. 3.5 - Prob. 19ECh. 3.5 - Prob. 20ECh. 3.5 - Prob. 21ECh. 3.5 - Prob. 22ECh. 3.5 - Prob. 23ECh. 3.5 - In Exercises 21–28, determine the check matrix...Ch. 3.5 - Prob. 25ECh. 3.5 - Prob. 26ECh. 3.5 - Prob. 27ECh. 3.5 - Prob. 28ECh. 3.5 - Prob. 29ECh. 3.5 - Exercises 29 and 30, the check matrix A* for a...Ch. 3.5 - Prob. 31ECh. 3.5 - In Exercises 31–38, use Theorem 3.8(b) to...Ch. 3.5 - Prob. 33ECh. 3.5 - Prob. 34ECh. 3.5 - Prob. 35ECh. 3.5 - Prob. 36ECh. 3.5 - Prob. 37ECh. 3.5 - Prob. 38ECh. 3.5 - Prob. 39ECh. 3.5 - Consider the (3, 7)-code with generator...Ch. 3.5 - Prob. 41ECh. 3.5 - Find the generator matrix of the code that encodes...Ch. 3.5 - Prob. 43ECh. 3.6 - Prob. 1ECh. 3.6 - Prob. 2ECh. 3.6 - Prob. 3ECh. 3.6 - Prob. 4ECh. 3.6 - In Exercises 1–8, determine the syndrome of each...Ch. 3.6 - In Exercises 1–8, determine the syndrome of each...Ch. 3.6 - Prob. 7ECh. 3.6 - Prob. 8ECh. 3.6 - Prob. 9ECh. 3.6 - Prob. 10ECh. 3.6 - Prob. 11ECh. 3.6 - Prob. 12ECh. 3.6 - Prob. 13ECh. 3.6 - Prob. 14ECh. 3.6 - Prob. 15ECh. 3.6 - Prob. 16ECh. 3.6 - Prob. 17ECh. 3.6 - Prob. 18ECh. 3.6 - Prob. 19ECh. 3.6 - In Exercises 9–28, the given word was received...Ch. 3.6 - Prob. 21ECh. 3.6 - In Exercises 9–28, the given word was received...Ch. 3.6 - In Exercises 9–28, the given word was received...Ch. 3.6 - Prob. 24ECh. 3.6 - Prob. 25ECh. 3.6 - Prob. 26ECh. 3.6 - Prob. 27ECh. 3.6 - Prob. 28ECh. 3.6 - Prob. 29ECh. 3.6 - In Exercises 29 and 30, a check matrix and a list...Ch. 3.6 - Prob. 31ECh. 3.6 - Prob. 32ECh. 3.6 - Prob. 33ECh. 3.6 - In Exercises 31–34, determine the minimal value of...Ch. 3.6 - Prob. 35ECh. 3.6 - Prob. 36ECh. 3.6 - Prob. 37ECh. 3.6 - In Exercises 35–38, determine the smallest values...Ch. 3.6 - Prob. 39ECh. 3.6 - Prob. 40ECh. 3.6 - Prob. 41ECh. 3.6 - Prove by mathematical induction that r2 + 1 ≤ 2r...Ch. 3 - Prob. 1SECh. 3 - Prob. 2SECh. 3 - Determine whether each statement in Exercises 1–4...Ch. 3 - Prob. 4SECh. 3 - Prob. 5SECh. 3 - Prob. 6SECh. 3 - Prob. 7SECh. 3 - Prob. 8SECh. 3 - Prob. 9SECh. 3 - Prob. 10SECh. 3 - Prob. 11SECh. 3 - Prob. 12SECh. 3 - Prob. 13SECh. 3 - Prob. 14SECh. 3 - Prob. 15SECh. 3 - Prob. 16SECh. 3 - Prob. 17SECh. 3 - Prob. 18SECh. 3 - Prob. 19SECh. 3 - Prob. 20SECh. 3 - Prob. 21SECh. 3 - Prob. 22SECh. 3 - Prob. 23SECh. 3 - Prob. 24SECh. 3 - Prob. 25SECh. 3 - Prob. 26SECh. 3 - Prob. 27SECh. 3 - Prob. 28SECh. 3 - Prob. 29SECh. 3 - Prob. 30SECh. 3 - Prob. 31SECh. 3 - Prob. 32SECh. 3 - Prob. 33SECh. 3 - Prob. 34SECh. 3 - Prob. 35SECh. 3 - Prob. 36SECh. 3 - Prob. 37SECh. 3 - Prob. 38SECh. 3 - Prob. 39SECh. 3 - Prob. 40SECh. 3 - Prob. 41SECh. 3 - Prob. 42SECh. 3 - Prob. 43SECh. 3 - Prob. 44SECh. 3 - Prob. 45SECh. 3 - Prob. 46SECh. 3 - Prob. 47SECh. 3 - Prob. 48SECh. 3 - Prob. 49SECh. 3 - Prob. 50SECh. 3 - Prob. 51SECh. 3 - Prob. 52SECh. 3 - Prob. 53SECh. 3 - Prob. 54SECh. 3 - Prob. 55SECh. 3 - Prob. 56SECh. 3 - Prob. 57SECh. 3 - Prob. 58SECh. 3 - Prob. 59SECh. 3 - Prob. 60SECh. 3 - Prob. 62SECh. 3 - Prob. 63SECh. 3 - Prob. 64SECh. 3 - Prob. 65SECh. 3 - Prob. 66SECh. 3 - Prob. 67SECh. 3 - Prob. 68SECh. 3 - Prob. 69SECh. 3 - Prob. 70SECh. 3 - Prob. 71SECh. 3 - Prob. 72SECh. 3 - Prob. 73SECh. 3 - Prob. 2CPCh. 3 - Prob. 3CPCh. 3 - Prob. 4CPCh. 3 - Prob. 5CPCh. 3 - Prob. 6CPCh. 3 - Prob. 7CP
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