STATS: DATA+MODELS LL W/ MYLAB 18MOS
5th Edition
ISBN: 9780135991206
Author: DeVeaux
Publisher: PEARSON
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Chapter 4, Problem 4E
a.
To determine
Explain where the tallest bars of the histogram are located by looking at the boxplot.
b.
To determine
Explain the representation of skewed distribution in histogram and boxplot.
c.
To determine
Identify one feature of histogram which cannot be represented by the boxplot.
d.
To determine
Identify one feature of the boxplot which cannot be represented by histogram.
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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 4 Solutions
STATS: DATA+MODELS LL W/ MYLAB 18MOS
Ch. 4.1 - The Bureau of Transportation Statistics of the...Ch. 4.1 - The Bureau of Transportation Statistics of the...Ch. 4.1 - Prob. 3JCCh. 4 - Prob. 1ECh. 4 - Prob. 2ECh. 4 - 3. Fuel economy The boxplot shows the fuel economy...Ch. 4 - 4. Prisons 2014 In a way, boxplots are the...Ch. 4 - Load factors 2017 by month Here is a display of...Ch. 4 - Load factors 2017 by year Here is a display of the...Ch. 4 - Prob. 7E
Ch. 4 - Load factors 2017 by year again The box plots of...Ch. 4 - Prob. 9ECh. 4 - Load factors 2017 over time, a second look Here is...Ch. 4 - Prob. 11ECh. 4 - Prob. 12ECh. 4 - 15. Cost of living 2016, selected cities To help...Ch. 4 - Prob. 16ECh. 4 - 17. Rock concert deaths Crowd Management...Ch. 4 - Slalom times 2018 The Men’s Giant Slalom skiing...Ch. 4 - Prob. 19ECh. 4 - Prob. 20ECh. 4 - Prob. 21ECh. 4 - Prob. 22ECh. 4 - Prob. 23ECh. 4 - Prob. 24ECh. 4 - Prob. 25ECh. 4 - Prob. 26ECh. 4 - Prob. 27ECh. 4 - Prob. 28ECh. 4 - Prob. 29ECh. 4 - 30. Ozone Ozone levels (in parts per billion, ppb)...Ch. 4 - Prob. 31ECh. 4 - 32. Eye and hair color A survey of 1021 school-age...Ch. 4 - Prob. 33ECh. 4 - 34. Vineyards Here are summary statistics for the...Ch. 4 - 35. Caffeine A student study of the effects of...Ch. 4 - Prob. 36ECh. 4 - Prob. 37ECh. 4 - Prob. 38ECh. 4 - Prob. 39ECh. 4 - Prob. 40ECh. 4 - Prob. 41ECh. 4 - Prob. 42ECh. 4 - Prob. 43ECh. 4 - Prob. 44ECh. 4 - Prob. 45ECh. 4 - Prob. 46ECh. 4 - Prob. 47ECh. 4 - 48. Rainmakers The table lists the amounts of...Ch. 4 - Prob. 49ECh. 4 - Prob. 50ECh. 4 - Prob. 51ECh. 4 - Prob. 52ECh. 4 - 13. Pizza prices by city (Data in Pizza prices)...
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