Discrete Mathematics With Applications
5th Edition
ISBN: 9781337694193
Author: EPP, Susanna S.
Publisher: Cengage Learning,
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Chapter 3.4, Problem 3ES
To determine
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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
Discrete Mathematics With Applications
Ch. 3.1 - If P(x) is a predicate with domain D, the truth...Ch. 3.1 - Some ways to express the symbol in words are .Ch. 3.1 - Some ways to express the symbol in words are .Ch. 3.1 - A statement of from xD , Q(x) is true if, and only...Ch. 3.1 - A statement of the form xD such that Q(x) is true:...Ch. 3.1 - A menagerie consists of seven brown dogs, two...Ch. 3.1 - Indicate which of the following statements are...Ch. 3.1 - Let R(m,n) be the predicate “If m is a factor if...Ch. 3.1 - Let Q(x,y) be the predicate “If xy then x2y2 ”...Ch. 3.1 - Find the truth set of each predicate. Predicate:...
Ch. 3.1 - Let B(x) be “ 10x10 .” Find the truth set of B(x)...Ch. 3.1 - Let S be the set of all strings of length 3...Ch. 3.1 - Let T be the set of all strings of length 3...Ch. 3.1 - Find counterexamples to show that the statements...Ch. 3.1 - Find counterexamples to show that the statements...Ch. 3.1 - Find counterexamples to show that the statements...Ch. 3.1 - Find counterexamples to show that the statements...Ch. 3.1 - Consider the following statement: basketball...Ch. 3.1 - Consider the following statement: xR such that...Ch. 3.1 - Rewrite the following statements informally in at...Ch. 3.1 - Rewrite each of the following statements in the...Ch. 3.1 - Rewrite each of the following in the form “ _____...Ch. 3.1 - Let D be the sat of all students at your school,...Ch. 3.1 - Consider the following statement: integer n, if...Ch. 3.1 - Rewrite the following statement informally in at...Ch. 3.1 - Prob. 21ESCh. 3.1 - Rewrite each of the following statements in the...Ch. 3.1 - Rewrite each of the following statements in the...Ch. 3.1 - Rewrite the following statements in the two forms...Ch. 3.1 - The statement “The square of any rational number...Ch. 3.1 - Consider the statement “All integers are rational...Ch. 3.1 - Refer to the picture of Tarski’s world given in...Ch. 3.1 - In 28-30, rewrite each statement without using...Ch. 3.1 - Let the domain of x be the set of geometric...Ch. 3.1 - Let the domain of x be Z, the set of integers, and...Ch. 3.1 - In any mathematics or computer science text other...Ch. 3.1 - Let R be the domain of the predicate variable x....Ch. 3.1 - Prob. 33ESCh. 3.2 - A negation for “All R have property S” is “There...Ch. 3.2 - A negation for “Some R have property S” is...Ch. 3.2 - A negation for “For every x, if x has property P...Ch. 3.2 - The converse of “For every x, if x has property P...Ch. 3.2 - The contrapositive of “For every x, if x has...Ch. 3.2 - The inverse of “For every x, if x has property P...Ch. 3.2 - Which of the following is a negation for “All...Ch. 3.2 - Which of the following is a negation for “All dogs...Ch. 3.2 - Write a formula negation for each of the following...Ch. 3.2 - Write an informal negation for each of the...Ch. 3.2 - Write a negation for each of the following...Ch. 3.2 - Write a negation for each statement in 6 and 7....Ch. 3.2 - Write a negation for each statement in 6 and 7....Ch. 3.2 - Consider the statement “There are no simple...Ch. 3.2 - Write negation for each statement in 9 and 10. ...Ch. 3.2 - Write a negation for each statements in 9 and 10. ...Ch. 3.2 - In each of 11-14 determine whether the proposed...Ch. 3.2 - In each of 11-14 determine whether the proposed...Ch. 3.2 - Prob. 13ESCh. 3.2 - Prob. 14ESCh. 3.2 - Prob. 15ESCh. 3.2 - In 16-23, write a negation for each statement. ...Ch. 3.2 - In 16-23, write a negation for each statement. ...Ch. 3.2 - Prob. 18ESCh. 3.2 - In 16-23, write a negation for each statement. nZ...Ch. 3.2 - Prob. 20ESCh. 3.2 - Prob. 21ESCh. 3.2 - In 16-23, write a negation for each statement. If...Ch. 3.2 - In 16-23, write a negation for each statement. If...Ch. 3.2 - Prob. 24ESCh. 3.2 - Prob. 25ESCh. 3.2 - In 26-33, for each statement in the referenced...Ch. 3.2 - In 26-33, for each statement in the referenced...Ch. 3.2 - Prob. 28ESCh. 3.2 - In 26-33, for each statement in the referenced...Ch. 3.2 - Prob. 30ESCh. 3.2 - In 26-33, for each statement in the referenced...Ch. 3.2 - In 26-33, for each statement in the referenced...Ch. 3.2 - In 26-33, for each statement in the referenced...Ch. 3.2 - Prob. 34ESCh. 3.2 - Give an example to show that a universal condition...Ch. 3.2 - If P(x) is a predicate and the domain of x is the...Ch. 3.2 - Consider the following sequence of digits: 0204. A...Ch. 3.2 - True or false? All occurrences of the letter u in...Ch. 3.2 - Prob. 39ESCh. 3.2 - Rewrite each statement of 39-44 if-then form....Ch. 3.2 - Rewrite each statement of 39-44 if-then form....Ch. 3.2 - Rewrite each statement of 39-44 if-then form....Ch. 3.2 - Rewrite each statement of 39-44 in if-then form. A...Ch. 3.2 - Rewrite each statement of 39-44 in if-then form. A...Ch. 3.2 - Prob. 45ESCh. 3.2 - Use the facts that the negation of a STATEMENT IS...Ch. 3.2 - Prob. 47ESCh. 3.2 - Use the facts that the negation of STATEMENT IS A...Ch. 3.2 - The computer scientist Richard Conway and David...Ch. 3.2 - A frequent-flyer club brochure stares, “you may...Ch. 3.3 - To establish the truth of a statement of the form...Ch. 3.3 - Prob. 2TYCh. 3.3 - Prob. 3TYCh. 3.3 - Consider the statement “ x such that y , P(x,y), a...Ch. 3.3 - Prob. 5TYCh. 3.3 - Prob. 1ESCh. 3.3 - Let G(x,y) be “ x2y .” Indicate which of the...Ch. 3.3 - The following statement is true: “ nonzero number...Ch. 3.3 - The following statement is true: “ real number x,...Ch. 3.3 - Prob. 5ESCh. 3.3 - The statements in exercise 5-8 refer to the Tarski...Ch. 3.3 - Prob. 7ESCh. 3.3 - This statements is exercised 5-8 refer to the...Ch. 3.3 - Prob. 9ESCh. 3.3 - This exercise refers to Example 3.3.3. Determine...Ch. 3.3 - Let Sbe the set of students at your school, let M...Ch. 3.3 - Let D = E ={-2,-1,0,1,2}. Write negations for each...Ch. 3.3 - Prob. 13ESCh. 3.3 - Prob. 14ESCh. 3.3 - Prob. 15ESCh. 3.3 - Prob. 16ESCh. 3.3 - Prob. 17ESCh. 3.3 - Prob. 18ESCh. 3.3 - Prob. 19ESCh. 3.3 - Recall that reversing that order of the...Ch. 3.3 - For each of following equators, determinewhich of...Ch. 3.3 - Prob. 22ESCh. 3.3 - In 22 and 23, rewrite each statement without using...Ch. 3.3 - Prob. 24ESCh. 3.3 - Each statement in 25—28 refers to Tarski world of...Ch. 3.3 - Each statement in 25—28 refers to Tarski world of...Ch. 3.3 - Prob. 27ESCh. 3.3 - Prob. 28ESCh. 3.3 - Prob. 29ESCh. 3.3 - Prob. 30ESCh. 3.3 - Prob. 31ESCh. 3.3 - Prob. 32ESCh. 3.3 - Prob. 33ESCh. 3.3 - In 33-39(a) rewrite the statement formally using...Ch. 3.3 - In 33-39(a) rewrite the statement formally using...Ch. 3.3 - In 33-39(a) rewrite the statement formally using...Ch. 3.3 - In 33-39(a) rewrite the statement formally using...Ch. 3.3 - In 33-39(a) rewrite the statement formally using...Ch. 3.3 - Prob. 39ESCh. 3.3 - Prob. 40ESCh. 3.3 - Indicate which of the following statements are...Ch. 3.3 - Write the negation of the definition of limit of a...Ch. 3.3 - The following is the definition for limxaf(x)=L ....Ch. 3.3 - The notation ! stands for the words “There exists...Ch. 3.3 - Suppose that P(x) is a predicate and D is the...Ch. 3.3 - In 46—54, refer to the Tarski world given in...Ch. 3.3 - Prob. 47ESCh. 3.3 - Prob. 48ESCh. 3.3 - In 46—54, refer to the Tarski world given in...Ch. 3.3 - In 46—54, refer to the Tarski world given in...Ch. 3.3 - Y13In 46—54, refer to the Tarski world given in...Ch. 3.3 - Prob. 52ESCh. 3.3 - Prob. 53ESCh. 3.3 - Prob. 54ESCh. 3.3 - Let P(x)and Q(x) be predicates and suppose D is...Ch. 3.3 - Let P(x) and Q(x) be predicates and suppose D is...Ch. 3.3 - Let P(x) and Q(x) be predicates and suppose D is...Ch. 3.3 - Let P(x) and Q(x) be predicates and suppose D is...Ch. 3.3 - Prob. 59ESCh. 3.3 - In 59-61, find the answers Prolog would give if...Ch. 3.3 - Prob. 61ESCh. 3.4 - The rule of universal instantiation says that if...Ch. 3.4 - If the first two premises of universal modus...Ch. 3.4 - Prob. 3TYCh. 3.4 - If the first two premised of universal...Ch. 3.4 - Prob. 5TYCh. 3.4 - Prob. 1ESCh. 3.4 - Prob. 2ESCh. 3.4 - Prob. 3ESCh. 3.4 - real numbers r, a, and b, if b, if r is positive,...Ch. 3.4 - Prob. 5ESCh. 3.4 - Prob. 6ESCh. 3.4 - Some of the arguments in 7-18 are valid by...Ch. 3.4 - Prob. 8ESCh. 3.4 - Prob. 9ESCh. 3.4 - Prob. 10ESCh. 3.4 - Some of the arguments in 7—18 are valid by...Ch. 3.4 - Some of the arguments in 7—18 are valid by...Ch. 3.4 - Some of the arguments in 7-18 are valid by...Ch. 3.4 - Some of the arguments in 7-18 are valid by...Ch. 3.4 - Some of the arguments in 7-18 are valid by...Ch. 3.4 - Some of the arguments in 7-18 are valid by...Ch. 3.4 - Prob. 17ESCh. 3.4 - Some of the arguments in 7-18 are valid by...Ch. 3.4 - Rewrite the statement “No good cars are cheap” in...Ch. 3.4 - Use a diagram to shoe that the following argument...Ch. 3.4 - Indicate whether the arguments in 21-27 are valid...Ch. 3.4 - Indicate whether the arguments in 21-27 are valid...Ch. 3.4 - Prob. 23ESCh. 3.4 - Indicate whether the arguments in 21-27 are valid...Ch. 3.4 - Prob. 25ESCh. 3.4 - Prob. 26ESCh. 3.4 - Prob. 27ESCh. 3.4 - In exercises 28-32, reorder the premises in each...Ch. 3.4 - In exercises 28-32, reorder the premises in each...Ch. 3.4 - In exercises 28-32, reorder the premises in each...Ch. 3.4 - Prob. 31ESCh. 3.4 - In exercises 28-32, reorder the premises in each...Ch. 3.4 - Prob. 33ESCh. 3.4 - In 33 and 34 a single conclusion follows when all...Ch. 3.4 - Prob. 35ESCh. 3.4 - Derives the validity of universal form of part(a)...
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