Fundamentals of Differential Equations and Boundary Value Problems
7th Edition
ISBN: 9780321977106
Author: Nagle, R. Kent
Publisher: Pearson Education, Limited
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Chapter 6.3, Problem 3E
To determine
The form of a particular solution for the equation using the method of undetermined coefficients.
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Students have asked these similar questions
Question 1. Your manager asks you to explain why the Black-Scholes model may be inappro-
priate for pricing options in practice. Give one reason that would substantiate this claim?
Question 2. We consider stock #1 and stock #2 in the model of Problem 2. Your manager
asks you to pick only one of them to invest in based on the model provided. Which one do you
choose and why ?
Question 3. Let (St) to be an asset modeled by the Black-Scholes SDE. Let Ft be the price
at time t of a European put with maturity T and strike price K. Then, the discounted option
price process (ert Ft) t20 is a martingale. True or False? (Explain your answer.)
Question 4. You are considering pricing an American put option using a Black-Scholes model
for the underlying stock. An explicit formula for the price doesn't exist. In just a few words (no
more than 2 sentences), explain how you would proceed to price it.
Question 5. We model a short rate with a Ho-Lee model drt = ln(1+t) dt +2dWt. Then the
interest rate…
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.)
3. Consider the polynomial equation 6-iz+7z² - iz³ +z = 0 for which the roots are 3i, -2i, -i,
and i.
(a) Verify the relations between this roots and the coefficients of the polynomial.
(b) Find the annulus region in which the roots lie.
Chapter 6 Solutions
Fundamentals of Differential Equations and Boundary Value Problems
Ch. 6.1 - In Problems 1-6, determine the largest interval...Ch. 6.1 - In Problems 1-6, determine the largest interval...Ch. 6.1 - In Problems 1-6, determine the largest interval...Ch. 6.1 - In Problems 1-6, determine the largest interval...Ch. 6.1 - In Problems 1-6, determine the largest interval...Ch. 6.1 - In Problems 1-6, determine the largest interval...Ch. 6.1 - Prob. 7ECh. 6.1 - In Problems7-14, determine whether the given...Ch. 6.1 - In Problems7-14, determine whether the given...Ch. 6.1 - In Problems7-14, determine whether the given...
Ch. 6.1 - In Problems7-14, determine whether the given...Ch. 6.1 - In Problems7-14, determine whether the given...Ch. 6.1 - In Problems7-14, determine whether the given...Ch. 6.1 - In Problems7-14, determine whether the given...Ch. 6.1 - Using the Wronskian in Problems 15-18, verify that...Ch. 6.1 - Prob. 16ECh. 6.1 - Prob. 17ECh. 6.1 - Prob. 18ECh. 6.1 - In Problems 19-22, a particular solution and a...Ch. 6.1 - In Problems 19-22, a particular solution and a...Ch. 6.1 - In Problems 19-22, a particular solution and a...Ch. 6.1 - In Problems 19-22, a particular solution and a...Ch. 6.1 - Let L[y]:=y+y+xy, y1(x):=sinx, and y2(x):=x....Ch. 6.1 - Let L[y]:=yxy+4y3xy", y1(x)=cos2x, and y2(x):=1/3....Ch. 6.1 - Prob. 25ECh. 6.1 - Prob. 26ECh. 6.1 - Prob. 27ECh. 6.1 - Prob. 28ECh. 6.1 - Prob. 29ECh. 6.1 - Prob. 30ECh. 6.1 - Prob. 31ECh. 6.1 - Prob. 32ECh. 6.1 - Prob. 33ECh. 6.1 - Prob. 34ECh. 6.1 - Prob. 35ECh. 6.2 - In Problems 1-14, find a general solution for the...Ch. 6.2 - Prob. 2ECh. 6.2 - In Problems 1-14, find a general solution for the...Ch. 6.2 - Prob. 4ECh. 6.2 - Prob. 5ECh. 6.2 - Prob. 6ECh. 6.2 - Prob. 7ECh. 6.2 - Prob. 8ECh. 6.2 - Prob. 9ECh. 6.2 - Prob. 10ECh. 6.2 - Prob. 11ECh. 6.2 - Prob. 12ECh. 6.2 - Prob. 13ECh. 6.2 - In Problems 1-14, find a general solution for the...Ch. 6.2 - In Problems 15-18, find a general solution to the...Ch. 6.2 - Prob. 16ECh. 6.2 - In Problems 15 18, find a general solution to the...Ch. 6.2 - Prob. 18ECh. 6.2 - Prob. 19ECh. 6.2 - In Problems 1921, solve the given initial value...Ch. 6.2 - Prob. 21ECh. 6.2 - Prob. 22ECh. 6.2 - In Problems 22 and 23, find a general solution for...Ch. 6.2 - Prob. 24ECh. 6.2 - Prob. 25ECh. 6.2 - Prob. 26ECh. 6.2 - Prob. 27ECh. 6.2 - Find a general solution to y3yy=0 by using Newtons...Ch. 6.2 - Prob. 29ECh. 6.2 - Prob. 30ECh. 6.2 - Higher-Order Cauchy-Euler Equations. A...Ch. 6.2 - Prob. 32ECh. 6.2 - On a smooth horizontal surface, a mass of m1 kg is...Ch. 6.2 - Suppose the two springs in the coupled mass-spring...Ch. 6.2 - Vibrating Beam. In studying the transverse...Ch. 6.3 - In Problems 1-4, use the method of undetermined...Ch. 6.3 - Prob. 2ECh. 6.3 - Prob. 3ECh. 6.3 - Prob. 4ECh. 6.3 - In Problems 5-10, find a general solution to the...Ch. 6.3 - In Problems 5-10, find a general solution to the...Ch. 6.3 - Prob. 7ECh. 6.3 - Prob. 8ECh. 6.3 - Prob. 9ECh. 6.3 - In Problems 5-10, find a general solution to the...Ch. 6.3 - In Problems 11-20, find a differential operator...Ch. 6.3 - In Problems 11-20, find a differential operator...Ch. 6.3 - In Problems 11-20, find a differential operator...Ch. 6.3 - In Problems 11-20, find a differential operator...Ch. 6.3 - In Problems 11-20, find a differential operator...Ch. 6.3 - In Problems 11-20, find a differential operator...Ch. 6.3 - In Problems 11-20, find a differential operator...Ch. 6.3 - In Problems 11-20, find a differential operator...Ch. 6.3 - In Problems 11-20, find a differential operator...Ch. 6.3 - In Problems 11-20, find a differential operator...Ch. 6.3 - In Problems 21-30, use the annihilator method to...Ch. 6.3 - In Problems 21-30, use the annihilator method to...Ch. 6.3 - In Problems 21-30, use the annihilator method to...Ch. 6.3 - In Problems 21-30, use the annihilator method to...Ch. 6.3 - In Problems 21-30, use the annihilator method to...Ch. 6.3 - In Problems 21-30, use the annihilator method to...Ch. 6.3 - In Problems 21-30, use the annihilator method to...Ch. 6.3 - Prob. 28ECh. 6.3 - Prob. 29ECh. 6.3 - In Problems 21-30, use the annihilator method to...Ch. 6.3 - Prob. 31ECh. 6.3 - Prob. 32ECh. 6.3 - In Problems 31-33, solve the given initial value...Ch. 6.3 - Prob. 34ECh. 6.3 - Prob. 35ECh. 6.3 - Use the annihilator method to show that if f(x) in...Ch. 6.3 - Prob. 37ECh. 6.3 - In Problems 38 and 39, use the elimination method...Ch. 6.3 - Prob. 39ECh. 6.4 - In Problems 1-6, use the method of variation of...Ch. 6.4 - Prob. 2ECh. 6.4 - In Problems 1-6, use the method of variation of...Ch. 6.4 - Prob. 4ECh. 6.4 - Prob. 5ECh. 6.4 - In Problems 1-6, use the method of variation of...Ch. 6.4 - Prob. 7ECh. 6.4 - Prob. 8ECh. 6.4 - Prob. 9ECh. 6.4 - Given that {x,x1,x4} is a fundamental solution set...Ch. 6.4 - Prob. 11ECh. 6.4 - Prob. 12ECh. 6.4 - Prob. 13ECh. 6.4 - Prob. 14ECh. 6.RP - Determine the intervals for which Theorem 1 on...Ch. 6.RP - Determine whether the given functions are linearly...Ch. 6.RP - Show that the set of functions...Ch. 6.RP - Find a general solution for the given differential...Ch. 6.RP - Find a general solution for the homogeneous linear...Ch. 6.RP - Prob. 6RPCh. 6.RP - Prob. 7RPCh. 6.RP - Use the annihilator method to determine the form...Ch. 6.RP - Find a general solution to the Cauchy-Euler...Ch. 6.RP - Find a general solution to the given Cauchy-Euler...
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