DIFF EQUAT W/BOUNDAR >PRINT UPGRADE<
9th Edition
ISBN: 9781337810906
Author: ZILL
Publisher: CENGAGE L
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Chapter 3.2, Problem 32E
To determine
To check: Whether the average velocity of rain drop is consistent with the models or not.
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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?
The Course Name Real Analysis please Solve questions by Real Analysis
Chapter 3 Solutions
DIFF EQUAT W/BOUNDAR >PRINT UPGRADE<
Ch. 3.1 - The population of a community is known to increase...Ch. 3.1 - Suppose it is known that the population of the...Ch. 3.1 - The population of a town grows at a rate...Ch. 3.1 - The population of bacteria in a culture grows at a...Ch. 3.1 - The radioactive isotope of lead, Pb-209, decays at...Ch. 3.1 - Initially 100 milligrams of a radioactive...Ch. 3.1 - Determine the half-life of the radioactive...Ch. 3.1 - (a) Consider the initial-value problem dA/dt = kA,...Ch. 3.1 - When a vertical beam of light passes through a...Ch. 3.1 - Prob. 10E
Ch. 3.1 - Carbon Dating Archaeologists used pieces of burned...Ch. 3.1 - The Shroud of Turin, which shows the negative...Ch. 3.1 - Newtons Law of Cooling/Warming A thermometer is...Ch. 3.1 - A thermometer is taken from an inside room to the...Ch. 3.1 - A small metal bar, whose initial temperature was...Ch. 3.1 - Two large containers A and B of the same size are...Ch. 3.1 - A thermometer reading 70 F is placed in an oven...Ch. 3.1 - At t = 0 a sealed test tube containing a chemical...Ch. 3.1 - A dead body was found within a closed room of a...Ch. 3.1 - The rate at which a body cools also depends on its...Ch. 3.1 - A tank contains 200 liters of fluid in which 30...Ch. 3.1 - Solve Problem 21 assuming that pure water is...Ch. 3.1 - A large tank is filled to capacity with 500...Ch. 3.1 - In Problem 23, what is the concentration c(t) of...Ch. 3.1 - Solve Problem 23 under the assumption that the...Ch. 3.1 - Determine the amount of salt in the tank at time t...Ch. 3.1 - A large tank is partially filled with 100 gallons...Ch. 3.1 - In Example 5 the size of the tank containing the...Ch. 3.1 - A 30-volt electromotive force is applied to an...Ch. 3.1 - Solve equation (7) under the assumption that E(t)...Ch. 3.1 - A 100-volt electromotive force is applied to an...Ch. 3.1 - A 200-volt electromotive force is applied to an...Ch. 3.1 - An electromotive force E(t)={120,0t200,t20 is...Ch. 3.1 - An LR-series circuit has a variable inductor with...Ch. 3.1 - Air Resistance In (14) of Section 1.3 we saw that...Ch. 3.1 - How High?No Air Resistance Suppose a small...Ch. 3.1 - How High?Linear Air Resistance Repeat Problem 36,...Ch. 3.1 - Skydiving A skydiver weighs 125 pounds, and her...Ch. 3.1 - Prob. 39ECh. 3.1 - Rocket MotionContinued In Problem 39 suppose of...Ch. 3.1 - Evaporating Raindrop As a raindrop falls, it...Ch. 3.1 - Prob. 42ECh. 3.1 - Prob. 43ECh. 3.1 - Constant-Harvest model A model that describes the...Ch. 3.1 - Drug Dissemination A mathematical model for the...Ch. 3.1 - Prob. 46ECh. 3.1 - Heart Pacemaker A heart pacemaker, shown in Figure...Ch. 3.1 - Sliding Box (a) A box of mass m slides down an...Ch. 3.1 - Sliding BoxContinued (a) In Problem 48 let s(t) be...Ch. 3.1 - Prob. 50ECh. 3.2 - The number N(t) of supermarkets throughout the...Ch. 3.2 - The number N(t) of people in a community who are...Ch. 3.2 - Prob. 3ECh. 3.2 - (a) Census data for the United States between 1790...Ch. 3.2 - (a) If a constant number h of fish are harvested...Ch. 3.2 - Investigate the harvesting model in Problem 5 both...Ch. 3.2 - Repeat Problem 6 in the case a = 5, b = 1, h = 7.Ch. 3.2 - Prob. 8ECh. 3.2 - Two chemicals A and B are combined to form a...Ch. 3.2 - Solve Problem 9 if 100 grams of chemical A is...Ch. 3.2 - Leaking cylindrical tank A tank in the form of a...Ch. 3.2 - Leaking cylindrical tankcontinued When friction...Ch. 3.2 - Leaking Conical Tank A tank in the form of a...Ch. 3.2 - Inverted Conical Tank Suppose that the conical...Ch. 3.2 - Air Resistance A differential equation for the...Ch. 3.2 - How High?Nonlinear Air Resistance Consider the...Ch. 3.2 - Prob. 17ECh. 3.2 - Prob. 18ECh. 3.2 - Prob. 19ECh. 3.2 - Evaporation An outdoor decorative pond in the...Ch. 3.2 - Doomsday equation Consider the differential...Ch. 3.2 - Doomsday or extinction Suppose the population...Ch. 3.2 - Prob. 26ECh. 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. 3.2 - Prob. 34ECh. 3.2 - Prob. 35ECh. 3.3 - We have not discussed methods by which systems of...Ch. 3.3 - Prob. 2ECh. 3.3 - Prob. 3ECh. 3.3 - Construct a mathematical model for a radioactive...Ch. 3.3 - Prob. 5ECh. 3.3 - Prob. 6ECh. 3.3 - Consider two tanks A and B, with liquid being...Ch. 3.3 - Use the information given in Figure 3.3.6 to...Ch. 3.3 - Two very large tanks A and B are each partially...Ch. 3.3 - Prob. 10ECh. 3.3 - Consider the Lotka-Volterra predator-prey model...Ch. 3.3 - Prob. 14ECh. 3.3 - Determine a system of first-order differential...Ch. 3.3 - Prob. 16ECh. 3.3 - Prob. 17ECh. 3.3 - Prob. 18ECh. 3.3 - Prob. 19ECh. 3.3 - Prob. 20ECh. 3.3 - Mixtures Solely on the basis of the physical...Ch. 3.3 - Prob. 22ECh. 3 - Answer Problems 1 and 2 without referring back to...Ch. 3 - Prob. 2RECh. 3 - Prob. 3RECh. 3 - Prob. 4RECh. 3 - tzi the Iceman In September of 1991 two German...Ch. 3 - Prob. 6RECh. 3 - Prob. 7RECh. 3 - Prob. 8RECh. 3 - Prob. 9RECh. 3 - According to Stefans law of radiation the absolute...Ch. 3 - Prob. 11RECh. 3 - A classical problem in the calculus of variations...Ch. 3 - Prob. 13RECh. 3 - Prob. 14RECh. 3 - Prob. 15RECh. 3 - Prob. 16RECh. 3 - Prob. 17RECh. 3 - Prob. 18RECh. 3 - Prob. 19RECh. 3 - Prob. 20RECh. 3 - Prob. 21RECh. 3 - Prob. 22RE
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