Introduction to Statistics and Data Analysis
5th Edition
ISBN: 9781305115347
Author: Roxy Peck; Chris Olsen; Jay L. Devore
Publisher: Brooks Cole
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Chapter 5.4, Problem 44E
a.
To determine
Draw a
b.
To determine
Discuss whether a linear model would be an effective summary for the relationship between the variables.
c.
To determine
Draw a scatterplot for the given transformed data and comment on the pattern.
d.
To determine
Conclude whether the least-squares line obtained in the given MINITAB output is effective in summarizing the relationship between x′ and y′.
e.
To determine
Predict the moisture content, for a frying time of 35 seconds.
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Problem 3. Pricing a multi-stock option the Margrabe formula
The purpose of this problem is to price a swap option in a 2-stock model, similarly as
what we did in the example in the lectures. We consider a two-dimensional Brownian
motion given by W₁ = (W(¹), W(2)) on a probability space (Q, F,P). Two stock prices
are modeled by the following equations:
dX
=
dY₁ =
X₁ (rdt+
rdt+0₁dW!)
(²)),
Y₁ (rdt+dW+0zdW!"),
with Xo
xo and Yo =yo. This corresponds to the multi-stock model studied in class,
but with notation (X+, Y₁) instead of (S(1), S(2)). Given the model above, the measure
P is already the risk-neutral measure (Both stocks have rate of return r). We write
σ = 0₁+0%. We consider a swap option, which gives you the right, at time T, to
exchange one share of X for one share of Y. That is, the option has payoff
F=(Yr-XT).
(a) We first assume that r = 0 (for questions (a)-(f)). Write an explicit expression for
the process Xt.
Reminder before proceeding to question (b): Girsanov's theorem…
Problem 1. Multi-stock model
We consider a 2-stock model similar to the one studied in class. Namely, we consider
=
S(1)
S(2)
=
S(¹) exp (σ1B(1) + (M1 - 0/1 )
S(²) exp (02B(2) + (H₂-
M2
where (B(¹) ) +20 and (B(2) ) +≥o are two Brownian motions, with
t≥0
Cov (B(¹), B(2)) = p min{t, s}.
"
The purpose of this problem is to prove that there indeed exists a 2-dimensional Brownian
motion (W+)+20 (W(1), W(2))+20 such that
=
S(1)
S(2)
=
=
S(¹) exp (011W(¹) + (μ₁ - 01/1) t)
롱)
S(²) exp (021W (1) + 022W(2) + (112 - 03/01/12) t).
where σ11, 21, 22 are constants to be determined (as functions of σ1, σ2, p).
Hint: The constants will follow the formulas developed in the lectures.
(a) To show existence of (Ŵ+), first write the expression for both W. (¹) and W (2)
functions of (B(1), B(²)).
as
(b) Using the formulas obtained in (a), show that the process (WA) is actually a 2-
dimensional standard Brownian motion (i.e. show that each component is normal,
with mean 0, variance t, and that their…
The scores of 8 students on the midterm exam and final exam were as follows.
Student
Midterm
Final
Anderson
98
89
Bailey
88
74
Cruz
87
97
DeSana
85
79
Erickson
85
94
Francis
83
71
Gray
74
98
Harris
70
91
Find the value of the (Spearman's) rank correlation coefficient test statistic that would be used to test the claim of no correlation between midterm score and final exam score. Round your answer to 3 places after the decimal point, if necessary.
Test statistic: rs =
Chapter 5 Solutions
Introduction to Statistics and Data Analysis
Ch. 5.1 - For each of the scatterplots shown, answer the...Ch. 5.1 - For each of the following pairs of variables,...Ch. 5.1 - Is the following statement correct? Explain why or...Ch. 5.1 - Prob. 4ECh. 5.1 - Prob. 5ECh. 5.1 - The accompanying data are x = Cost (cents per...Ch. 5.1 - The authors of the paper Flat-footedness Is Not a...Ch. 5.1 - Prob. 8ECh. 5.1 - Prob. 9ECh. 5.1 - The accompanying data were read from graphs that...
Ch. 5.1 - It may seem odd, but one of the ways biologists...Ch. 5.1 - An auction house released a list of 25 recently...Ch. 5.1 - A sample of automobiles traversing a certain...Ch. 5.2 - Two scatterplots are shown below. Explain why it...Ch. 5.2 - The authors of the paper Statistical Methods for...Ch. 5.2 - Prob. 16ECh. 5.2 - A sample of 548 ethnically diverse students from...Ch. 5.2 - The relationship between hospital patient-to-nurse...Ch. 5.2 - Prob. 19ECh. 5.2 - Prob. 20ECh. 5.2 - Studies have shown that people who suffer sudden...Ch. 5.2 - The data given in the previous exercise on x =...Ch. 5.2 - An article on the cost of housing in Califomia...Ch. 5.2 - The following data on sale price, size, and...Ch. 5.2 - Explain why it can be dangerous to use the...Ch. 5.2 - The sales manager of a large company selected a...Ch. 5.2 - Explain why the slope b of the least-squares line...Ch. 5.2 - Prob. 28ECh. 5.3 - Does it pay to stay in school? The report Trends...Ch. 5.3 - The data in the accompanying table is from the...Ch. 5.3 - Prob. 31ECh. 5.3 - Prob. 32ECh. 5.3 - Some types of algae have the potential to cause...Ch. 5.3 - Prob. 34ECh. 5.3 - Prob. 35ECh. 5.3 - Prob. 36ECh. 5.3 - The article Examined Life: What Stanley H. Kaplan...Ch. 5.3 - Prob. 38ECh. 5.3 - The article California State Parks Closure List...Ch. 5.3 - The article referenced in the previous exercise...Ch. 5.3 - A study was carried out to investigate the...Ch. 5.3 - Both r2 and se are used to assess the fit of a...Ch. 5.3 - Prob. 43ECh. 5.4 - Prob. 44ECh. 5.4 - The paper Aspects of Food Finding by Wintering...Ch. 5.4 - Food intake of grazing animals is limited by the...Ch. 5.4 - Prob. 47ECh. 5.4 - Prob. 48ECh. 5.4 - The paper Population Pressure and Agricultural...Ch. 5.4 - Determining the age of an animal can sometimes be...Ch. 5.5 - The paper How Lead Exposure Relates to Temporal...Ch. 5.5 - The following quote is from the paper Evaluation...Ch. 5 - The accompanying data represent x = Amount of...Ch. 5 - The paper A Cross-National Relationship Between...Ch. 5 - The following data on x = Score on a measure of...Ch. 5 - Prob. 58CRCh. 5 - Prob. 59CRCh. 5 - Prob. 60CRCh. 5 - The paper Effects of Canine Parvovirus (CPV) on...Ch. 5 - The paper Aspects of Food Finding by Wintering...Ch. 5 - Data on salmon availability (x) and the percentage...Ch. 5 - No tortilla chip lover likes soggy chips, so it is...Ch. 5 - The article Reduction is Soluble Protein and...Ch. 5 - An accurate assessment of oxygen consumption...Ch. 5 - Consider the four (x, y) pairs (0, 0), (1, 1), 1,...Ch. 5 - Prob. 1CRECh. 5 - Data from a survey of 1046 adults age 50 and older...Ch. 5 - Prob. 3CRECh. 5 - Prob. 4CRECh. 5 - Prob. 5CRECh. 5 - In August 2009, Harris Interactive released the...Ch. 5 - Prob. 7CRECh. 5 - Prob. 8CRECh. 5 - Prob. 9CRECh. 5 - Prob. 10CRECh. 5 - Prob. 11CRECh. 5 - Prob. 12CRECh. 5 - Prob. 13CRECh. 5 - Cost-to-charge ratios (the percentage of the...Ch. 5 - Prob. 15CRECh. 5 - In the article Reproductive Biology of the Aquatic...Ch. 5 - Prob. 17CRECh. 5 - Prob. 18CRECh. 5 - The paper “Population Pressure and Agricultural...Ch. 5 - Anabolic steroid abuse has been increasing despite...Ch. 5 - Prob. 69ECh. 5 - Prob. 70ECh. 5 - Prob. 71ECh. 5 - Prob. 72ECh. 5 - Suppose the hypothetical data below are from a...Ch. 5 - Prob. 74E
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