Discrete Mathematics With Applications
5th Edition
ISBN: 9781337694193
Author: EPP, Susanna S.
Publisher: Cengage Learning,
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Chapter 6.2, Problem 10ES
To determine
To prove:
For all sets
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Students have asked these similar questions
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 6 Solutions
Discrete Mathematics With Applications
Ch. 6.1 - The notation is read”______” and means that___Ch. 6.1 - To use an element argument for proving that a set...Ch. 6.1 - Prob. 3TYCh. 6.1 - An element x is in AB if , and only if,_______Ch. 6.1 - An element x in AB if, and only if,______Ch. 6.1 - An element x is in B-A if, and only if,______Ch. 6.1 - An elements x is in Acif, and only if.______Ch. 6.1 - The empty set is a set with ______Ch. 6.1 - The power set of a set A is _____Ch. 6.1 - Prob. 10TY
Ch. 6.1 - A collection of nonempty set is a partition of a...Ch. 6.1 - Prob. 1ESCh. 6.1 - Complete the proof from Example 6.1.3: Prove that...Ch. 6.1 - Let sets R, S, and T be defined as follows:...Ch. 6.1 - Let A={nZn=5rforsomeintegerr} and...Ch. 6.1 - Prob. 5ESCh. 6.1 - Let...Ch. 6.1 - ...Ch. 6.1 - Prob. 8ESCh. 6.1 - Complete the following sentences without using the...Ch. 6.1 - ...Ch. 6.1 - Let the universal set be R, the set of all real...Ch. 6.1 - Let the universal set be R, the set of all real...Ch. 6.1 - Let S be the set of all strings of 0’s and 1’s of...Ch. 6.1 - Prob. 14ESCh. 6.1 - Prob. 15ESCh. 6.1 - Prob. 16ESCh. 6.1 - Prob. 17ESCh. 6.1 - a. Is the number 0 in ? Why? b. Is ={} ? Why ? c....Ch. 6.1 - Prob. 19ESCh. 6.1 - Let Bi={xR0xi} for each integer i=1,2,3,4. a....Ch. 6.1 - Let Ci={i,i} for each nonnegative integer i.Ch. 6.1 - Let Di={xR-ixi}=[i,i] for each nonnegative integer...Ch. 6.1 - Let Vi={xR1ix1i}=[1i,1i] for each positive integer...Ch. 6.1 - Let Wi={xRxi}=(i,) for each nonnegative integer i....Ch. 6.1 - Let Ri={xR1x1+1i}=[1,1+1i]foreachpositiveintegeri....Ch. 6.1 - Let Si={xR1x1+1i}=(1,1+1i) for each positive...Ch. 6.1 - Prob. 27ESCh. 6.1 - Let E be the set of all even integers and O the...Ch. 6.1 - Let R be the set of all real number. Is a...Ch. 6.1 - Let Z be the set of all integers and let...Ch. 6.1 - Prob. 31ESCh. 6.1 - Suppose A={1} and B={u,v} . Find P(AB) . Suppose...Ch. 6.1 - Find P() FindP(p()). Find p(p(p())) .Ch. 6.1 - Prob. 34ESCh. 6.1 - Prob. 35ESCh. 6.1 - Prob. 36ESCh. 6.1 - Prob. 37ESCh. 6.1 - Write an algorithm to determine whether a given...Ch. 6.2 - Prob. 1TYCh. 6.2 - Prob. 2TYCh. 6.2 - Prob. 3TYCh. 6.2 - Prob. 4TYCh. 6.2 - Prob. 5TYCh. 6.2 - Prob. 6TYCh. 6.2 - To say that an element is in A(BC) means that it...Ch. 6.2 - The following are two proofs that for all sets A...Ch. 6.2 - In 3 and 4, supply explanations of the steps in...Ch. 6.2 - Prob. 4ESCh. 6.2 - Prob. 5ESCh. 6.2 - Let and stand for the words “intersection” and...Ch. 6.2 - Prob. 7ESCh. 6.2 - Prob. 8ESCh. 6.2 - Prob. 9ESCh. 6.2 - Prob. 10ESCh. 6.2 - Prob. 11ESCh. 6.2 - Prob. 12ESCh. 6.2 - Prob. 13ESCh. 6.2 - Prob. 14ESCh. 6.2 - Prob. 15ESCh. 6.2 - Prob. 16ESCh. 6.2 - Prob. 17ESCh. 6.2 - Prob. 18ESCh. 6.2 - Prob. 19ESCh. 6.2 - Prob. 20ESCh. 6.2 - Prob. 21ESCh. 6.2 - Prob. 22ESCh. 6.2 - Prob. 23ESCh. 6.2 - Prob. 24ESCh. 6.2 - Prob. 25ESCh. 6.2 - Prob. 26ESCh. 6.2 - Fill in the blanks in the following proof that for...Ch. 6.2 - Prob. 28ESCh. 6.2 - Prob. 29ESCh. 6.2 - Prob. 30ESCh. 6.2 - Prob. 31ESCh. 6.2 - Prob. 32ESCh. 6.2 - Prob. 33ESCh. 6.2 - Prob. 34ESCh. 6.2 - Prob. 35ESCh. 6.2 - Prob. 36ESCh. 6.2 - Prob. 37ESCh. 6.2 - Prob. 38ESCh. 6.2 - Prove each statement is 39-44. For all sets A and...Ch. 6.2 - Prove each statement in 39-44. For every positive...Ch. 6.2 - Prob. 41ESCh. 6.2 - Prove each statement in 39-44. For every positive...Ch. 6.2 - Prob. 43ESCh. 6.2 - Prob. 44ESCh. 6.3 - Given a proposed set identity set identity...Ch. 6.3 - When using algebraic method for proving a set...Ch. 6.3 - Prob. 3TYCh. 6.3 - Prob. 1ESCh. 6.3 - Prob. 2ESCh. 6.3 - Prob. 3ESCh. 6.3 - Prob. 4ESCh. 6.3 - Prob. 5ESCh. 6.3 - Prob. 6ESCh. 6.3 - Prob. 7ESCh. 6.3 - Prob. 8ESCh. 6.3 - Prob. 9ESCh. 6.3 - Prob. 10ESCh. 6.3 - Prob. 11ESCh. 6.3 - Prob. 12ESCh. 6.3 - Prob. 13ESCh. 6.3 - Prob. 14ESCh. 6.3 - Prob. 15ESCh. 6.3 - Prob. 16ESCh. 6.3 - Prob. 17ESCh. 6.3 - Prob. 18ESCh. 6.3 - Prob. 19ESCh. 6.3 - Prob. 20ESCh. 6.3 - Prob. 21ESCh. 6.3 - Write a negation for each of the following...Ch. 6.3 - Let S={a,b,c} and for each integer i = 0, 1, 2, 3,...Ch. 6.3 - Let A={t,u,v,w} , and let S1 be the set of all...Ch. 6.3 - Prob. 25ESCh. 6.3 - Prob. 26ESCh. 6.3 - Prob. 27ESCh. 6.3 - Prob. 28ESCh. 6.3 - Some steps are missing from the following proof...Ch. 6.3 - In 30-40, construct an algebraic proof for the...Ch. 6.3 - Prob. 31ESCh. 6.3 - In 30-40, construct an algebraic proof for the...Ch. 6.3 - Prob. 33ESCh. 6.3 - In 30-40, construct an algebraic proof for the...Ch. 6.3 - In 30—40, construct an algebraic proof for the...Ch. 6.3 - In 30-40, construct an algebraic proof for the...Ch. 6.3 - In 30-40, construct an algebraic proof for the...Ch. 6.3 - In 30-40, construct an algebraic proof for the...Ch. 6.3 - In 30-40, construct an algebraic proof for the...Ch. 6.3 - In 30-40, construct an algebraic proof for the...Ch. 6.3 - Prob. 41ESCh. 6.3 - Prob. 42ESCh. 6.3 - Prob. 43ESCh. 6.3 - Prob. 44ESCh. 6.3 - Consider the following set property: For all sets...Ch. 6.3 - Prob. 46ESCh. 6.3 - Prob. 47ESCh. 6.3 - Prob. 48ESCh. 6.3 - Prob. 49ESCh. 6.3 - Prob. 50ESCh. 6.3 - Prob. 51ESCh. 6.3 - Prob. 52ESCh. 6.3 - Prob. 53ESCh. 6.3 - Prob. 54ESCh. 6.4 - In the comparison between the structure of the set...Ch. 6.4 - Prob. 2TYCh. 6.4 - Prob. 3TYCh. 6.4 - Prob. 1ESCh. 6.4 - Prob. 2ESCh. 6.4 - In 1-3 assume that B is a Boolean algebra with...Ch. 6.4 - Prob. 4ESCh. 6.4 - Prob. 5ESCh. 6.4 - Prob. 6ESCh. 6.4 - Prob. 7ESCh. 6.4 - Prob. 8ESCh. 6.4 - Prob. 9ESCh. 6.4 - In 4—10 assume that B is a Boolean algebra with...Ch. 6.4 - Prob. 11ESCh. 6.4 - Exercises 12-15 provide an outline for a proof...Ch. 6.4 - Prob. 13ESCh. 6.4 - Exercises 12-15 provide an outline for a proof...Ch. 6.4 - Prob. 15ESCh. 6.4 - Prob. 16ESCh. 6.4 - Prob. 17ESCh. 6.4 - In 16-21 determine where each sentence is a...Ch. 6.4 - In 16-21 determin whether each sentence is a...Ch. 6.4 - In 16-21 determine wherether each sentence is a...Ch. 6.4 - In 16-21 determine wherether each sentence is a...Ch. 6.4 - Prob. 22ESCh. 6.4 - Prob. 23ESCh. 6.4 - Can there exist a cimputer program that has as...Ch. 6.4 - Can there exist a book that refers to all those...Ch. 6.4 - Some English adjectives are descriptive of...Ch. 6.4 - As strange as it may seem, it is possible to give...Ch. 6.4 - Is there an alogroithm whichm for a fixed quantity...Ch. 6.4 - Prob. 29ES
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