A Transition to Advanced Mathematics
8th Edition
ISBN: 9781285463261
Author: Douglas Smith, Maurice Eggen, Richard St. Andre
Publisher: Cengage Learning
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Chapter 5.4, Problem 11E
a.
To determine
To prove if
b.
To determine
To prove that
c.
To determine
To prove that
d.
To determine
To prove that
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9. An elementary single period market model contains a risk-free asset with interest rate
r = 5% and a risky asset S which has price 30 at time t = 0 and will have either price
10 or 60 at time t = 1. Find a replicating strategy for a contingent claim with payoff
h(S₁) = max(20 - S₁, 0) + max(S₁ — 50, 0).
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8. An elementary single period market model has a risky asset with price So = 20 at the
beginning and a money market account with interest rate r = 0.04 compounded only
once at the end of the investment period.
=
=
In market model A, S₁ 10 with 15% probability and S₁
21 with 85% probability.
In market model B, S₁ = 25 with 10% probability and S₁ = 30 with 90% probability.
For each market model A, B, determine if the model is arbitrage-free. If not, construct
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b) Solve the following linear program using the 2-phase simplex algorithm. You should give
the initial tableau, and each further tableau produced during the execution of the
algorithm. If the program has an optimal solution, give this solution and state its
objective value. If it does not have an optimal solution, say why.
maximize ₁ - 2x2+x34x4
subject to 2x1+x22x3x41,
5x1 + x2-x3-×4 ≤ −1,
2x1+x2-x3-34
2,
1, 2, 3, 40.
Chapter 5 Solutions
A Transition to Advanced Mathematics
Ch. 5.1 - The Cayley tables for operations o,*,+, and are...Ch. 5.1 - Prob. 2ECh. 5.1 - Prob. 3ECh. 5.1 - Prob. 4ECh. 5.1 - Give an example of an algebraic structure of order...Ch. 5.1 - Prob. 6ECh. 5.1 - Show that the structure ({1},), with operation ...Ch. 5.1 - (a)In the group G of Exercise 2, find x such that...Ch. 5.1 - Show that (,), with operation # defined by...Ch. 5.1 - Construct the operation table for each of the...
Ch. 5.1 - Prob. 11ECh. 5.1 - (a)Prove that (m,+) is associative and commutative...Ch. 5.1 - Suppose m and m2. Prove that 1 and m1 are distinct...Ch. 5.1 - Let m and a be natural numbers with am. Complete...Ch. 5.1 - Prob. 15ECh. 5.1 - Prob. 16ECh. 5.1 - Prob. 17ECh. 5.1 - Consider the set A={a,b,c,d} with operation ogiven...Ch. 5.1 - Repeat Exercise 2 with the operation * given by...Ch. 5.1 - Let m,n and M=A:A is an mn matrix with real number...Ch. 5.1 - Prob. 21ECh. 5.1 - Prob. 22ECh. 5.2 - Show that each of the following algebraic...Ch. 5.2 - Given that G={e,u,v,w} is a group of order 4 with...Ch. 5.2 - Prob. 3ECh. 5.2 - Give an example of an algebraic system (G,o) that...Ch. 5.2 - Construct the operation table for S2. Is S2...Ch. 5.2 - Prob. 6ECh. 5.2 - Let G be a group and aiG for all n. Prove that...Ch. 5.2 - Prove part (d) of Theorem 6.2.3. That is, prove...Ch. 5.2 - Prob. 9ECh. 5.2 - Prob. 10ECh. 5.2 - Prob. 11ECh. 5.2 - Assign a grade of A (correct), C (partially...Ch. 5.3 - Assign a grade of A (correct), C (partially...Ch. 5.3 - Find all subgroups of (8,+). (U11,). (5,+). (U7,)....Ch. 5.3 - In the group S4, find two different subgroups that...Ch. 5.3 - Prove that if G is a group and H is a subgroup of...Ch. 5.3 - Prove that if H and K are subgroups of a group G,...Ch. 5.3 - Let G be a group and H be a subgroup of G. If H is...Ch. 5.3 - Prob. 7ECh. 5.3 - Prob. 8ECh. 5.3 - Prob. 9ECh. 5.3 - List all generators of each cyclic group in...Ch. 5.3 - Prob. 11ECh. 5.3 - Let G be a group, and let H be a subgroup of G....Ch. 5.3 - Let ({0},) be the group of nonzero complex numbers...Ch. 5.3 - Prob. 14ECh. 5.3 - Prob. 15ECh. 5.3 - Let G=a be a cyclic group of order 30. What is the...Ch. 5.4 - Is S3 isomorphic to (6,+)? Explain.Ch. 5.4 - Prob. 2ECh. 5.4 - Use the method of proof of Cayley's Theorem to...Ch. 5.4 - Define f:++ by f(x)=x where + is the set of all...Ch. 5.4 - Assign a grade of A (correct), C (partially...Ch. 5.4 - Prob. 6ECh. 5.4 - Define on by setting (a,b)(c,d)=(acbd,ad+bc)....Ch. 5.4 - Let f the set of all real-valued integrable...Ch. 5.4 - Prob. 9ECh. 5.4 - Find the order of each element of the group S3....Ch. 5.4 - Prob. 11ECh. 5.4 - Let (3,+) and (6,+) be the groups in Exercise 10,...Ch. 5.4 - Prob. 13ECh. 5.4 - Prob. 14ECh. 5.4 - Prob. 15ECh. 5.4 - Prob. 16ECh. 5.4 - Prob. 17ECh. 5.5 - Prob. 1ECh. 5.5 - Prob. 2ECh. 5.5 - Show that any two groups of order 2 are...Ch. 5.5 - Show that the function h: defined by h(x)=3x is...Ch. 5.5 - Let R be the equivalence relation on ({0}) given...Ch. 5.5 - Prob. 6ECh. 5.5 - Prob. 7ECh. 5.5 - Let (R,+,) be an algebraic structure such that...Ch. 5.5 - Assign a grade of A (correct), C (partially...Ch. 5.5 - Let M be the set of all 22 matrices with real...
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