NATURE OF MATHEMATICS WEBASSIGN ACCESS
13th Edition
ISBN: 9780357127193
Author: SMITH
Publisher: CENGAGE L
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Chapter 4.5, Problem 5PS
To determine
To distinguish:
ROM and RAM.
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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.)
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 4 Solutions
NATURE OF MATHEMATICS WEBASSIGN ACCESS
Ch. 4.1 - IN YOUR OWN WORDS Explain the difference between...Ch. 4.1 - IN YOUR OWN WORDS Discuss the similarities and...Ch. 4.1 - IN YOUR OWN WORDS What do you regard as the...Ch. 4.1 - Prob. 4PSCh. 4.1 - Prob. 5PSCh. 4.1 - Prob. 6PSCh. 4.1 - Prob. 7PSCh. 4.1 - Tell which of the named properties apply to the...Ch. 4.1 - Write each numeral in problems 920 as a decimal...Ch. 4.1 - Prob. 10PS
Ch. 4.1 - Prob. 11PSCh. 4.1 - Prob. 12PSCh. 4.1 - Prob. 13PSCh. 4.1 - Prob. 14PSCh. 4.1 - Prob. 15PSCh. 4.1 - Write each numeral in Problems 920 as a decimal...Ch. 4.1 - Prob. 17PSCh. 4.1 - Prob. 18PSCh. 4.1 - Prob. 19PSCh. 4.1 - Prob. 20PSCh. 4.1 - Prob. 21PSCh. 4.1 - Prob. 22PSCh. 4.1 - Prob. 23PSCh. 4.1 - Prob. 24PSCh. 4.1 - Prob. 25PSCh. 4.1 - Prob. 26PSCh. 4.1 - Prob. 27PSCh. 4.1 - Prob. 28PSCh. 4.1 - Prob. 29PSCh. 4.1 - Prob. 30PSCh. 4.1 - Prob. 31PSCh. 4.1 - Prob. 32PSCh. 4.1 - Prob. 33PSCh. 4.1 - Prob. 34PSCh. 4.1 - Prob. 35PSCh. 4.1 - Prob. 36PSCh. 4.1 - Prob. 37PSCh. 4.1 - Prob. 38PSCh. 4.1 - Prob. 39PSCh. 4.1 - Prob. 40PSCh. 4.1 - Prob. 41PSCh. 4.1 - Prob. 42PSCh. 4.1 - Prob. 43PSCh. 4.1 - Perform the indicated operations in Problems 4348.Ch. 4.1 - Prob. 45PSCh. 4.1 - Prob. 46PSCh. 4.1 - Prob. 47PSCh. 4.1 - Prob. 48PSCh. 4.1 - Prob. 49PSCh. 4.1 - What is the largest number that begins with the...Ch. 4.1 - Prob. 51PSCh. 4.1 - Prob. 52PSCh. 4.1 - Prob. 53PSCh. 4.1 - Prob. 54PSCh. 4.1 - Prob. 55PSCh. 4.1 - a. What is the largest number that uses each of...Ch. 4.1 - Prob. 57PSCh. 4.1 - Prob. 58PSCh. 4.1 - Prob. 59PSCh. 4.1 - Prob. 60PSCh. 4.2 - IN YOUR OWN WORDS Discuss the difference between...Ch. 4.2 - Prob. 2PSCh. 4.2 - Prob. 3PSCh. 4.2 - Prob. 4PSCh. 4.2 - Prob. 5PSCh. 4.2 - Prob. 6PSCh. 4.2 - Prob. 7PSCh. 4.2 - Prob. 8PSCh. 4.2 - Give the meaning of the numeral 5 in each of the...Ch. 4.2 - Prob. 10PSCh. 4.2 - Give the meaning of the numeral 5 in each of the...Ch. 4.2 - Prob. 12PSCh. 4.2 - Prob. 13PSCh. 4.2 - Prob. 14PSCh. 4.2 - Prob. 15PSCh. 4.2 - Prob. 16PSCh. 4.2 - Prob. 17PSCh. 4.2 - Prob. 18PSCh. 4.2 - Prob. 19PSCh. 4.2 - Prob. 20PSCh. 4.2 - Prob. 21PSCh. 4.2 - Prob. 22PSCh. 4.2 - Prob. 23PSCh. 4.2 - Prob. 24PSCh. 4.2 - Prob. 25PSCh. 4.2 - Prob. 26PSCh. 4.2 - Prob. 27PSCh. 4.2 - Prob. 28PSCh. 4.2 - Prob. 29PSCh. 4.2 - Prob. 30PSCh. 4.2 - Prob. 31PSCh. 4.2 - Prob. 32PSCh. 4.2 - Prob. 33PSCh. 4.2 - Prob. 34PSCh. 4.2 - Write each of the numbers in Problems 3142 in...Ch. 4.2 - Prob. 36PSCh. 4.2 - Prob. 37PSCh. 4.2 - Prob. 38PSCh. 4.2 - Prob. 39PSCh. 4.2 - Prob. 40PSCh. 4.2 - Prob. 41PSCh. 4.2 - Prob. 42PSCh. 4.2 - Prob. 43PSCh. 4.2 - Prob. 44PSCh. 4.2 - Prob. 45PSCh. 4.2 - Prob. 46PSCh. 4.2 - Prob. 47PSCh. 4.2 - Prob. 48PSCh. 4.2 - Prob. 49PSCh. 4.2 - Prob. 50PSCh. 4.2 - Prob. 51PSCh. 4.2 - Prob. 52PSCh. 4.2 - Prob. 53PSCh. 4.2 - Prob. 54PSCh. 4.2 - Prob. 55PSCh. 4.2 - Prob. 56PSCh. 4.2 - Prob. 57PSCh. 4.2 - Prob. 58PSCh. 4.2 - Prob. 59PSCh. 4.2 - Prob. 60PSCh. 4.3 - Prob. 1PSCh. 4.3 - Prob. 2PSCh. 4.3 - Prob. 3PSCh. 4.3 - Prob. 4PSCh. 4.3 - Count the number of people in the indicated base....Ch. 4.3 - Count the number of people in the indicated base....Ch. 4.3 - Prob. 7PSCh. 4.3 - Prob. 8PSCh. 4.3 - Prob. 9PSCh. 4.3 - Prob. 10PSCh. 4.3 - Prob. 11PSCh. 4.3 - Prob. 12PSCh. 4.3 - Prob. 13PSCh. 4.3 - Prob. 14PSCh. 4.3 - Prob. 15PSCh. 4.3 - Prob. 16PSCh. 4.3 - Prob. 17PSCh. 4.3 - Prob. 18PSCh. 4.3 - Prob. 19PSCh. 4.3 - Prob. 20PSCh. 4.3 - Prob. 21PSCh. 4.3 - Prob. 22PSCh. 4.3 - Prob. 23PSCh. 4.3 - Prob. 24PSCh. 4.3 - Prob. 25PSCh. 4.3 - Prob. 26PSCh. 4.3 - Prob. 27PSCh. 4.3 - Prob. 28PSCh. 4.3 - Prob. 29PSCh. 4.3 - Prob. 30PSCh. 4.3 - Prob. 31PSCh. 4.3 - Prob. 32PSCh. 4.3 - Prob. 33PSCh. 4.3 - Prob. 34PSCh. 4.3 - Prob. 35PSCh. 4.3 - Prob. 36PSCh. 4.3 - Prob. 37PSCh. 4.3 - Use number bases to answer the questions in...Ch. 4.3 - Prob. 39PSCh. 4.3 - Prob. 40PSCh. 4.3 - Prob. 41PSCh. 4.3 - Prob. 42PSCh. 4.3 - Prob. 43PSCh. 4.3 - Prob. 44PSCh. 4.3 - Prob. 45PSCh. 4.3 - Prob. 46PSCh. 4.3 - Prob. 47PSCh. 4.3 - Prob. 48PSCh. 4.3 - Prob. 49PSCh. 4.3 - Prob. 50PSCh. 4.3 - Prob. 51PSCh. 4.3 - Prob. 52PSCh. 4.3 - Prob. 53PSCh. 4.3 - Prob. 54PSCh. 4.3 - Prob. 55PSCh. 4.3 - Prob. 56PSCh. 4.3 - Prob. 57PSCh. 4.3 - Prob. 58PSCh. 4.3 - Prob. 59PSCh. 4.3 - Prob. 60PSCh. 4.4 - Prob. 1PSCh. 4.4 - Prob. 2PSCh. 4.4 - What decimal number is represented by the light...Ch. 4.4 - Prob. 4PSCh. 4.4 - What decimal number is represented by the light...Ch. 4.4 - Prob. 6PSCh. 4.4 - Prob. 7PSCh. 4.4 - Prob. 8PSCh. 4.4 - Prob. 9PSCh. 4.4 - Prob. 10PSCh. 4.4 - Prob. 11PSCh. 4.4 - Prob. 12PSCh. 4.4 - Prob. 13PSCh. 4.4 - Prob. 14PSCh. 4.4 - Prob. 15PSCh. 4.4 - Prob. 16PSCh. 4.4 - Prob. 17PSCh. 4.4 - Prob. 18PSCh. 4.4 - Prob. 19PSCh. 4.4 - Prob. 20PSCh. 4.4 - Prob. 21PSCh. 4.4 - Prob. 22PSCh. 4.4 - Prob. 23PSCh. 4.4 - Prob. 24PSCh. 4.4 - Prob. 25PSCh. 4.4 - Prob. 26PSCh. 4.4 - Prob. 27PSCh. 4.4 - Prob. 28PSCh. 4.4 - Prob. 29PSCh. 4.4 - Prob. 30PSCh. 4.4 - Prob. 31PSCh. 4.4 - Prob. 32PSCh. 4.4 - Prob. 33PSCh. 4.4 - Prob. 34PSCh. 4.4 - Prob. 35PSCh. 4.4 - Prob. 36PSCh. 4.4 - Prob. 37PSCh. 4.4 - Prob. 38PSCh. 4.4 - Prob. 39PSCh. 4.4 - Prob. 40PSCh. 4.4 - Perform the indicated operations in Problems 3946....Ch. 4.4 - Prob. 42PSCh. 4.4 - Prob. 43PSCh. 4.4 - Prob. 44PSCh. 4.4 - Prob. 45PSCh. 4.4 - Prob. 46PSCh. 4.4 - Prob. 47PSCh. 4.4 - Prob. 48PSCh. 4.4 - Prob. 49PSCh. 4.4 - Prob. 50PSCh. 4.4 - Prob. 51PSCh. 4.4 - Prob. 52PSCh. 4.4 - Prob. 53PSCh. 4.4 - Prob. 54PSCh. 4.4 - Prob. 55PSCh. 4.4 - Prob. 56PSCh. 4.4 - Prob. 57PSCh. 4.4 - Prob. 58PSCh. 4.4 - Prob. 59PSCh. 4.4 - Prob. 60PSCh. 4.5 - IN YOUR OWN WORDS Describe some of the computing...Ch. 4.5 - Prob. 2PSCh. 4.5 - Prob. 3PSCh. 4.5 - Prob. 4PSCh. 4.5 - Prob. 5PSCh. 4.5 - Prob. 6PSCh. 4.5 - Prob. 7PSCh. 4.5 - Prob. 8PSCh. 4.5 - Prob. 9PSCh. 4.5 - Prob. 10PSCh. 4.5 - Prob. 11PSCh. 4.5 - Prob. 12PSCh. 4.5 - Prob. 13PSCh. 4.5 - Prob. 14PSCh. 4.5 - Prob. 15PSCh. 4.5 - Prob. 16PSCh. 4.5 - Prob. 17PSCh. 4.5 - Prob. 18PSCh. 4.5 - Prob. 19PSCh. 4.5 - Prob. 20PSCh. 4.5 - Prob. 21PSCh. 4.5 - Prob. 22PSCh. 4.5 - Prob. 23PSCh. 4.5 - Prob. 24PSCh. 4.5 - Prob. 25PSCh. 4.5 - Prob. 26PSCh. 4.5 - Prob. 27PSCh. 4.5 - Prob. 28PSCh. 4.5 - Prob. 29PSCh. 4.5 - Prob. 30PSCh. 4.5 - Prob. 31PSCh. 4.5 - Prob. 32PSCh. 4.5 - Prob. 33PSCh. 4.5 - Prob. 34PSCh. 4.5 - Prob. 35PSCh. 4.5 - Prob. 36PSCh. 4.5 - Problems 3445 list a specific task. Decide whether...Ch. 4.5 - Prob. 38PSCh. 4.5 - Prob. 39PSCh. 4.5 - Prob. 40PSCh. 4.5 - Prob. 41PSCh. 4.5 - Prob. 42PSCh. 4.5 - Prob. 43PSCh. 4.5 - Prob. 44PSCh. 4.5 - Prob. 45PSCh. 4.5 - Prob. 46PSCh. 4.5 - Prob. 47PSCh. 4.5 - Prob. 48PSCh. 4.5 - Prob. 49PSCh. 4.5 - Prob. 50PSCh. 4.5 - Prob. 51PSCh. 4.5 - Prob. 52PSCh. 4.5 - Prob. 53PSCh. 4.5 - Prob. 54PSCh. 4.5 - Prob. 55PSCh. 4.5 - Prob. 56PSCh. 4.5 - Prob. 57PSCh. 4.5 - Prob. 58PSCh. 4.5 - Prob. 59PSCh. 4.5 - Prob. 60PSCh. 4.CR - Prob. 1CRCh. 4.CR - Prob. 2CRCh. 4.CR - Prob. 3CRCh. 4.CR - Prob. 4CRCh. 4.CR - Prob. 5CRCh. 4.CR - Prob. 6CRCh. 4.CR - Prob. 7CRCh. 4.CR - Prob. 8CRCh. 4.CR - Prob. 9CRCh. 4.CR - Prob. 10CRCh. 4.CR - Prob. 11CRCh. 4.CR - Prob. 12CRCh. 4.CR - Prob. 13CRCh. 4.CR - Prob. 14CRCh. 4.CR - Prob. 15CRCh. 4.CR - Prob. 16CRCh. 4.CR - Prob. 17CRCh. 4.CR - Prob. 18CRCh. 4.CR - Prob. 19CRCh. 4.CR - Prob. 20CR
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