Introductory Statistics
1st Edition
ISBN: 9781938168208
Author: Barbara Illowsky, Susan Dean
Publisher: OpenStax College
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Chapter 6, Problem 45P
Is P(x < 1) equal to
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Does there appear to be a positive or negative relationship between price and screen size? Use a scatter plot to examine the relationship. How to take snapshots: if you use a MacBook, press Command+ Shift+4 to take snapshots. If you are using Windows, use the Snipping Tool to take snapshots.
Question 1: Determine and interpret the correlation coefficient between the two variables. In your interpretation, discuss the direction of the relationship (positive, negative, or zero relationship). Also discuss the strength of the relationship.
Value of correlation coefficient:
Direction of the relationship (positive, negative, or zero relationship):
Strength of the relationship (strong/moderate/weak):
Question 2: Estimate the relationship between screen size and price using a simple linear regression model and interpret the estimated coefficients. In your interpretation, tell the dollar amount by which price will change for each unit of increase in screen size. (The answer for the…
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?
Chapter 6 Solutions
Introductory Statistics
Ch. 6 - What is the z-score of x, when x = 1 and...Ch. 6 - Fill In the blanks. Jerome averages 16 points a...Ch. 6 - Use the Information in Example 6.3 to answer the...Ch. 6 - In 2012, 1,664,479 students took the SAT exam. The...Ch. 6 - Suppose X has a normal distribution with mean 25...Ch. 6 - The scores on a college entrance exam have an...Ch. 6 - If the area to the left of x is 0.012, then what...Ch. 6 - The golf scores for a school team were normally...Ch. 6 - The golf scores for a school team were normally...Ch. 6 - Use the Information in Example 6.10 to answer the...
Ch. 6 - Two thousand students took an exam. The scores on...Ch. 6 - Using the information from Example 6.12, answer...Ch. 6 - A bottle of water contains 12.05 fluid ounces with...Ch. 6 - A normal distribution has a mean of 61 and a...Ch. 6 - X~N(1,2)=Ch. 6 - A company manufactures rubber balls. The mean...Ch. 6 - X~N(-4, 1) What is the median?Ch. 6 - X~N(3,5)=Ch. 6 - X~N(2,1)=Ch. 6 - What does a z-score measure?Ch. 6 - What does standardizing a normal distribution do...Ch. 6 - Is X ~N(0, 1) a standardized normal distribution?...Ch. 6 - What is the z-score of x = 12, if it is two...Ch. 6 - What is the z-score of x = 9, if it is 1.5...Ch. 6 - What is the z-score of x = —2, if it is 2.78...Ch. 6 - What is the z-score of x = 7, if it is 0.133...Ch. 6 - Suppose X~ N(2, 6). What value of x has a z-score...Ch. 6 - Suppose X~ N(8, 1). ‘What value of x has a z-score...Ch. 6 - Suppose X ~N(9, 5). What value of x has a z-score...Ch. 6 - Suppose X~ N(2, 3). That value of x has a z-score...Ch. 6 - Suppose X ~N(4, 2). What value of x is 1.5...Ch. 6 - Suppose X ~N(4, 2). What value of x is two...Ch. 6 - Suppose X ~N(8, 9). What value of x is 0.67...Ch. 6 - Suppose X ~N(—1, 2). What is the z-score of x = 2?Ch. 6 - Suppose X ~N( 12, 6). What is the z-score of x =...Ch. 6 - Suppose X ~N(9, 3). What is the z-score of x = 9?Ch. 6 - Suppose a normal distribution has a mean of six...Ch. 6 - In a normal distribution, x = 5 and z = —1.25....Ch. 6 - In a normal distribution, x = 3 and z = 0.67. This...Ch. 6 - In a normal distribution, x = —2 and z = 6. This...Ch. 6 - In a normal distribution, x = —5 and z = —3.14....Ch. 6 - In a normal distribution, x= 6 and z —1.7. This...Ch. 6 - About what percent of x values from a normal...Ch. 6 - About what percent of the x values from a normal...Ch. 6 - About what percent of x values lie between the...Ch. 6 - Suppose X N( 15, 3). Between what x values does...Ch. 6 - Suppose X~ N(—3, 1). Between what x values does...Ch. 6 - Suppose X ~N(—3, 1). Between what x values does...Ch. 6 - About what percent of x values lie between the...Ch. 6 - About what percent of x values lie between the...Ch. 6 - About what percent of x values lie between the...Ch. 6 - About what percent of x values lie between the...Ch. 6 - Use the following information to answer the next t...Ch. 6 - Use the following information to answer the next t...Ch. 6 - How would you represent the area to the left of...Ch. 6 - What is the area to the right of one? Figure 6.13Ch. 6 - Is P(x < 1) equal to P(x1) ? ‘by?Ch. 6 - How would you represent the area to the left of...Ch. 6 - What is the area to the right of three? Figure...Ch. 6 - If the area to the left of x in a normal...Ch. 6 - If the area to the tight of x in a normal...Ch. 6 - Use the following information to answer the next...Ch. 6 - Use the following information to answer the next...Ch. 6 - Use the following information to answer the next...Ch. 6 - Use the following information to answer the next...Ch. 6 - X~N(6, 2) Find the probability that x is between...Ch. 6 - X~N(—3, 4) Find the probability that x is between...Ch. 6 - X~N(4,5) Find the maxium of x in the bottom...Ch. 6 - Use the following information to answer the next...Ch. 6 - Find the probability that a CD player will last...Ch. 6 - Find the 70th percentile of the distribution for...Ch. 6 - Use the following information to answer the next r...Ch. 6 - Use the following information to answer the next r...Ch. 6 - The length of time to find it takes to find a...Ch. 6 - The heights of the 430 National Basketball...Ch. 6 - The systolic blood pressure (given In millimeters)...Ch. 6 - Kyle’s doctor told him that the z-score for his...Ch. 6 - Height and weight are two measurements used to...Ch. 6 - In 2005, 1,475,623 students heading to college...Ch. 6 - Use the following information (0 answer the next...Ch. 6 - Use the following information (0 answer the next...Ch. 6 - Use the following information to answer the next...Ch. 6 - Use the following information to answer the next...Ch. 6 - Use the following information to answer the next...Ch. 6 - According to a study done by De Anza students, the...Ch. 6 - IQ is normally distributed with a mean of 100 and...Ch. 6 - The percent of fat calories that a person In...Ch. 6 - Suppose that the distance of fly balls hit to the...Ch. 6 - In China, four-ear-olds average three bows a day...Ch. 6 - In the 1992 presidential election, Alaska's 40...Ch. 6 - Suppose that the duration of a particular type of...Ch. 6 - Tern Vogel, an amateur motorcycle racer, averages...Ch. 6 - Thuy Dau, Ngoc Bui, Sam Su, and Lan Voung...Ch. 6 - Suppose that Ricardo and Anita attend different...Ch. 6 - Table 6.4 shows a sample of the maximum capacity...Ch. 6 - An expert witness for a paternity lawsuit...Ch. 6 - A NUMMI assembly Line, which has been operating...Ch. 6 - We flip a coin 100 times (n = 100) and note that...Ch. 6 - A $1 scratch off lotto ticket will be a inner one...Ch. 6 - Facebook provides a variety of statistics on its...
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