Elementary Statistics (nasta Edition), 13th Edition
13th Edition
ISBN: 9780134722412
Author: Triola
Publisher: PEARSON
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Chapter 3.2, Problem 25BSC
Large Data Sets from Appendix B. In Exercises 25-28, refer to the indicated data set in Appendix B. Use software or a calculator to find the
25. Tornadoes Use the F-scale measurements from the tornadoes listed in Data Set 22 ‘Tornadoes” in Appendix B. Be careful to account for missing data.
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Students have asked these similar questions
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.)
Problem 4. Margrabe formula and the Greeks (20 pts)
In the homework, we determined the Margrabe formula for the price of an option allowing you to
swap an x-stock for a y-stock at time T. For stocks with initial values xo, yo, common volatility
σ and correlation p, the formula was given by
Fo=yo (d+)-x0Þ(d_),
where
In (±²
Ꭲ
d+
õ√T
and
σ = σ√√√2(1 - p).
дго
(a) We want to determine a "Greek" for ỡ on the option: find a formula for
θα
(b) Is
дго
θα
positive or negative?
(c) We consider a situation in which the correlation p between the two stocks increases: what
can you say about the price Fo?
(d) Assume that yo< xo and p = 1. What is the price of the option?
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
0
Σ=
-0.1
-4a За
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
Chapter 3 Solutions
Elementary Statistics (nasta Edition), 13th Edition
Ch. 3.1 - Average The defunct website IncomeTaxList.com...Ch. 3.1 - Whats Wrong? USA Today published a list consisting...Ch. 3.1 - Measures of Center In what sense are the mean,...Ch. 3.1 - Resistant Measures Here are four of the Verizon...Ch. 3.1 - Critical Thinking. For Exercises 5-20, watch out...Ch. 3.1 - Critical Thinking. For Exercises 5-20, watch out...Ch. 3.1 - Critical Thinking. For Exercises 5-20, watch out...Ch. 3.1 - Critical Thinking. For Exercises 5-20, watch out...Ch. 3.1 - Critical Thinking. For Exercises 5-20, watch out...Ch. 3.1 - Critical Thinking. For Exercises 5-20, watch out...
Ch. 3.1 - Critical Thinking. For Exercises 5-20, watch out...Ch. 3.1 - Critical Thinking. For Exercises 5-20, watch out...Ch. 3.1 - Critical Thinking. For Exercises 5-20, watch out...Ch. 3.1 - Critical Thinking. For Exercises 5-20, watch out...Ch. 3.1 - Critical Thinking. For Exercises 5-20, watch out...Ch. 3.1 - Critical Thinking. For Exercises 5-20, watch out...Ch. 3.1 - Critical Thinking. For Exercises 5-20, watch out...Ch. 3.1 - Critical Thinking. For Exercises 5-20, watch out...Ch. 3.1 - Critical Thinking. For Exercises 5-20, watch out...Ch. 3.1 - Critical Thinking. For Exercises 5-20, watch out...Ch. 3.1 - In Exercises 21-24, find the mean and median for...Ch. 3.1 - In Exercises 21-24, find the mean and median for...Ch. 3.1 - In Exercises 21-24, find the mean and median for...Ch. 3.1 - In Exercises 21-24, find the mean and median for...Ch. 3.1 - Large Data Sets from Appendix B. In Exercises...Ch. 3.1 - Large Data Sets from Appendix B. In Exercises...Ch. 3.1 - Large Data Sets from Appendix B. In Exercises...Ch. 3.1 - Large Data Sets from Appendix B. In Exercises...Ch. 3.1 - In Exercises 29-32, find the mean of the data...Ch. 3.1 - In Exercises 29-32, find the mean of the data...Ch. 3.1 - In Exercises 29-32, find the mean of the data...Ch. 3.1 - In Exercises 29-32, find the mean of the data...Ch. 3.1 - Weighted Mean A student of the author earned...Ch. 3.1 - Weighted Mean A student of the author earned...Ch. 3.1 - Degrees of Freedom Five pulse rates randomly...Ch. 3.1 - Censored Data Data Set 15 Presidents in Appendix B...Ch. 3.1 - Trimmed Mean Because the mean is very sensitive to...Ch. 3.1 - Harmonic Mean The harmonic mean is often used as a...Ch. 3.1 - Geometric Mean The geometric mean is often used in...Ch. 3.1 - Quadratic Mean The quadratic mean (or root mean...Ch. 3.1 - Median When data are summarized in a frequency...Ch. 3.2 - Range Rule of Thumb for Estimating s The 20 brain...Ch. 3.2 - Range Rule of Thumb for Interpreting s The 20...Ch. 3.2 - Variance The 20 subjects used in Data Set 8 IQ and...Ch. 3.2 - Symbols Identify the symbols used for each of the...Ch. 3.2 - In Exercises 5-20, find the range, variance, and...Ch. 3.2 - In Exercises 5-20, find the range, variance, and...Ch. 3.2 - In Exercises 5-20, find the range, variance, and...Ch. 3.2 - In Exercises 5-20, find the range, variance, and...Ch. 3.2 - In Exercises 5-20, find the range, variance, and...Ch. 3.2 - In Exercises 5-20, find the range, variance, and...Ch. 3.2 - In Exercises 5-20, find the range, variance, and...Ch. 3.2 - In Exercises 5-20, find the range, variance, and...Ch. 3.2 - In Exercises 5-20, find the range, variance, and...Ch. 3.2 - In Exercises 5-20, find the range, variance, and...Ch. 3.2 - In Exercises 5-20, find the range, variance, and...Ch. 3.2 - In Exercises 5-20, find the range, variance, and...Ch. 3.2 - In Exercises 5-20, find the range, variance, and...Ch. 3.2 - In Exercises 5-20, find the range, variance, and...Ch. 3.2 - In Exercises 5-20, find the range, variance, and...Ch. 3.2 - In Exercises 5-20, find the range, variance, and...Ch. 3.2 - In Exercises 21-24, find the coefficient of...Ch. 3.2 - In Exercises 21-24, find the coefficient of...Ch. 3.2 - In Exercises 21-24, find the coefficient of...Ch. 3.2 - In Exercises 21-24, find the coefficient of...Ch. 3.2 - Large Data Sets from Appendix B. In Exercises...Ch. 3.2 - Prob. 26BSCCh. 3.2 - Large Data Sets from Appendix B. In Exercises...Ch. 3.2 - Large Data Sets from Appendix B. In Exercises...Ch. 3.2 - Estimating Standard Deviation with the Range Rule...Ch. 3.2 - Prob. 30BSCCh. 3.2 - Estimating Standard Deviation with the Range Rule...Ch. 3.2 - Estimating Standard Deviation with the Range Rule...Ch. 3.2 - Identifying Significant Values with the Range Rule...Ch. 3.2 - Prob. 34BSCCh. 3.2 - Foot Lengths Based on Data Set 2 Foot and Height...Ch. 3.2 - Identifying Significant Values with the Range Rule...Ch. 3.2 - Finding Standard Deviation from a Frequency...Ch. 3.2 - Finding Standard Deviation from a Frequency...Ch. 3.2 - Finding Standard Deviation from a Frequency...Ch. 3.2 - Finding Standard Deviation from a Frequency...Ch. 3.2 - The Empirical Rule Based on Data Set 1 Body Data...Ch. 3.2 - The Empirical Rule Based on Data Set 3 Body...Ch. 3.2 - Chebyshevs Theorem Based on Data Set 1 Body Data...Ch. 3.2 - Chebyshevs Theorem Based on Data Set 3 Body...Ch. 3.2 - Why Divide by n 1? Let a population consist of...Ch. 3.2 - Mean Absolute Deviation Use the same population of...Ch. 3.3 - z Scores LeBron James, one of the most successful...Ch. 3.3 - Heights The boxplot shown below results from the...Ch. 3.3 - Boxplot Comparison Refer to the boxplots shown...Ch. 3.3 - z Scores If your score on your next statistics...Ch. 3.3 - z Scores. In Exercises 5-8, express all z scores...Ch. 3.3 - z Scores. In Exercises 5-8, express all z scores...Ch. 3.3 - z Scores. In Exercises 5-8, express all z scores...Ch. 3.3 - z Scores. In Exercises 5-8, express all z scores...Ch. 3.3 - Significant Values. In Exercises 9-12, consider a...Ch. 3.3 - Significant Values. In Exercises 9-12, consider a...Ch. 3.3 - Significant Values. In Exercises 9-12, consider a...Ch. 3.3 - Significant Values. In Exercises 9-12, consider a...Ch. 3.3 - Comparing Values. In Exercises 13-16, use z scores...Ch. 3.3 - Comparing Values. In Exercises 13-16, use z scores...Ch. 3.3 - Comparing Values. In Exercises 13-16, use z scores...Ch. 3.3 - Comparing Values. In Exercises 13-16, use z scores...Ch. 3.3 - Percentiles. In Exercises 17-20, use the following...Ch. 3.3 - Percentiles. In Exercises 17-20, use the following...Ch. 3.3 - Percentiles. In Exercises 17-20, use the following...Ch. 3.3 - Percentiles. In Exercises 17-20, use the following...Ch. 3.3 - Percentiles. In Exercises 17-20, use the following...Ch. 3.3 - Percentiles. In Exercises 17-20, use the following...Ch. 3.3 - Percentiles. In Exercises 17-20, use the following...Ch. 3.3 - Percentiles. In Exercises 17-20, use the following...Ch. 3.3 - Percentiles. In Exercises 17-20, use the following...Ch. 3.3 - Percentiles. In Exercises 17-20, use the following...Ch. 3.3 - Percentiles. In Exercises 17-20, use the following...Ch. 3.3 - Percentiles. In Exercises 17-20, use the following...Ch. 3.3 - Boxplots. In Exercises 29-32, use the given data...Ch. 3.3 - Boxplots. In Exercises 29-32, use the given data...Ch. 3.3 - Boxplots. In Exercises 29-32, use the given data...Ch. 3.3 - Boxplots. In Exercises 29-32, use the given data...Ch. 3.3 - Boxplots from Large Data Sets in Appendix B. In...Ch. 3.3 - Boxplots from Large Data Sets in Appendix B. In...Ch. 3.3 - Prob. 35BSCCh. 3.3 - Boxplots from Large Data Sets in Appendix B. In...Ch. 3.3 - Outliers and Modified Boxplots Repeat Exercise 33...Ch. 3 - Sleep Mean As part of the National Health and...Ch. 3 - Sleep Median What is the median of the sample...Ch. 3 - Sleep Mode What is the mode of the sample values...Ch. 3 - Sleep Variance The standard deviation of the...Ch. 3 - Prob. 5CQQCh. 3 - Sleep z Score A larger sample of 50 sleep times...Ch. 3 - Sleep Q3 For a sample of 80 sleep times,...Ch. 3 - Sleep 5-Number Summary For a sample of 100 sleep...Ch. 3 - Estimating s A large sample of sleep times...Ch. 3 - Sleep Notation Consider a sample of sleep times...Ch. 3 - Old Faithful Geyser Listed below are prediction...Ch. 3 - z Score Using the sample data from Exercise 1,...Ch. 3 - Boxplot Using the same prediction errors listed in...Ch. 3 - ER Codes In an analysis of activities that...Ch. 3 - Comparing Birth Weights The birth weights of a...Ch. 3 - Effects of an Outlier Listed below are platelet...Ch. 3 - Interpreting a Boxplot Shown below is a boxplot of...Ch. 3 - Estimating Standard Deviation Listed below is a...Ch. 3 - Prob. 1CRECh. 3 - Prob. 2CRECh. 3 - Stemplot Use the amounts of arsenic from Exercise...Ch. 3 - Prob. 4CRECh. 3 - Histogram The accompanying histogram depicts...Ch. 3 - Normal Distribution Examine the distribution shown...Ch. 3 - Words Spoken by Men and Women Refer to Data Set 24...Ch. 3 - Second-Hand Smoke Data Set 12 Passive and Active...
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