MATLAB: An Introduction with Applications, 6th Edition: An Introduction with Applications
6th Edition
ISBN: 9781119385134
Author: Amos Gilat
Publisher: WILEY
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Chapter 6, Problem 23P
A perfect number is a positive integer that is equal to the sum of its positive divisors except the number itself. The first two perfect numbers are 6 and 28 since
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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 6 Solutions
MATLAB: An Introduction with Applications, 6th Edition: An Introduction with Applications
Ch. 6 - Prob. 1PCh. 6 - Given: d=6e=4f=2 . Evaluate the following...Ch. 6 - Given: v=[-2 4 1 0 2 1 2] and w=[2 50 1 2 1 3]....Ch. 6 - Use the vectors v and w from Problem 3. Use...Ch. 6 - Evaluate the following expressions without using...Ch. 6 - Use loops to create a 46 matrix in which the value...Ch. 6 - Write a program that generates a vector with 30...Ch. 6 - Write a program that asks the user to input a...Ch. 6 - Write a program that asks the user to input a...Ch. 6 - The daily high temperature (°F) in New York City...
Ch. 6 - The Pascal triangle can be displayed as elements...Ch. 6 - Fibonacci numbers are the numbers in a sequence in...Ch. 6 - The reciprocal Fibonacci constant ?is defined by...Ch. 6 - The value of p can be estimated from:...Ch. 6 - The value of p can be estimated from the...Ch. 6 - Write a program that (a) generates a vector with...Ch. 6 - A vector is given by x= [9 -1.5 13.4 13.3 -2.1 4.6...Ch. 6 - The Pythagorean theorem states that a2+ b2= c2....Ch. 6 - Write a MATLAB program in a script file that finds...Ch. 6 - A safe prime is a prime number that can be written...Ch. 6 - Sexy primes are two prime numbers that the...Ch. 6 - A Mersenne prime is a prime number that is equal...Ch. 6 - A perfect number is a positive integer that is...Ch. 6 - A list of exam scores (S) (in percent out of 100%...Ch. 6 - The Taylor series expansion for axis:...Ch. 6 - Write a MATLAB program in a script file that finds...Ch. 6 - The following are formulas for calculating the...Ch. 6 - Body mass index (BMI) is a measure of obesity. In...Ch. 6 - Write a program in a script file that calculates...Ch. 6 - Write a program that determines the change given...Ch. 6 - The concentration of a drug in the body CPcan be...Ch. 6 - One numerical method for calculating the cubic...Ch. 6 - Write a program in a script file that converts a...Ch. 6 - In a one-dimensional random walk, the position x...Ch. 6 - The Sierpinski triangle can be implemented in...Ch. 6 - The roots of a cubic equation a3x3+a2x2+a1x+a0=0...Ch. 6 - The overall grade in a course is determined from...Ch. 6 - A Keith number is a number (integer) that appears...Ch. 6 - The following MATLAB commands create a sine-shaped...
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