Elementary Differential Equations and Boundary Value Problems, Enhanced
11th Edition
ISBN: 9781119381648
Author: Boyce
Publisher: WILEY
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Question
Chapter 6.4, Problem 2P
a.
To determine
To Sketch: The graph of the forcing function on an appropriate interval.
b.
To determine
To Find: The solution of the given initial value problem.
c.
To determine
To Plot: The graph of the solution
d.
To determine
To Explain: The graphs of the forcing function and the solutions are related.
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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
Elementary Differential Equations and Boundary Value Problems, Enhanced
Ch. 6.1 - Prob. 1PCh. 6.1 - Prob. 2PCh. 6.1 - Prob. 3PCh. 6.1 - Prob. 4PCh. 6.1 - Prob. 5PCh. 6.1 - Prob. 6PCh. 6.1 - Prob. 7PCh. 6.1 - Prob. 8PCh. 6.1 - Prob. 9PCh. 6.1 - Prob. 10P
Ch. 6.1 - Prob. 11PCh. 6.1 - Prob. 12PCh. 6.1 - Prob. 13PCh. 6.1 - Prob. 14PCh. 6.1 - Prob. 15PCh. 6.1 - Prob. 16PCh. 6.1 - Prob. 17PCh. 6.1 - Prob. 18PCh. 6.1 - Prob. 19PCh. 6.1 - Prob. 20PCh. 6.1 - Prob. 21PCh. 6.1 - Prob. 22PCh. 6.1 - Prob. 23PCh. 6.1 - Prob. 24PCh. 6.2 - Prob. 1PCh. 6.2 - Prob. 2PCh. 6.2 - Prob. 3PCh. 6.2 - Prob. 4PCh. 6.2 - Prob. 5PCh. 6.2 - Prob. 6PCh. 6.2 - Prob. 7PCh. 6.2 - Prob. 8PCh. 6.2 - Prob. 9PCh. 6.2 - Prob. 10PCh. 6.2 - Prob. 11PCh. 6.2 - Prob. 12PCh. 6.2 - Prob. 13PCh. 6.2 - Prob. 14PCh. 6.2 - Prob. 15PCh. 6.2 - Prob. 16PCh. 6.2 - Prob. 17PCh. 6.2 - Prob. 18PCh. 6.2 - Prob. 19PCh. 6.2 - Prob. 20PCh. 6.2 - Prob. 21PCh. 6.2 - Prob. 22PCh. 6.2 - Prob. 23PCh. 6.2 - Prob. 24PCh. 6.2 - Prob. 25PCh. 6.2 - Prob. 26PCh. 6.2 - Prob. 27PCh. 6.2 - Prob. 28PCh. 6.2 - Prob. 29PCh. 6.3 - Prob. 1PCh. 6.3 - Prob. 2PCh. 6.3 - Prob. 3PCh. 6.3 - Prob. 4PCh. 6.3 - Prob. 5PCh. 6.3 - Prob. 6PCh. 6.3 - Prob. 7PCh. 6.3 - Prob. 8PCh. 6.3 - Prob. 9PCh. 6.3 - Prob. 10PCh. 6.3 - Prob. 11PCh. 6.3 - Prob. 12PCh. 6.3 - Prob. 13PCh. 6.3 - Prob. 14PCh. 6.3 - Prob. 15PCh. 6.3 - Prob. 16PCh. 6.3 - Prob. 17PCh. 6.3 - Prob. 18PCh. 6.3 - Prob. 19PCh. 6.3 - Prob. 20PCh. 6.3 - Prob. 21PCh. 6.3 - Prob. 22PCh. 6.3 - Prob. 23PCh. 6.3 - Prob. 24PCh. 6.3 - Prob. 25PCh. 6.3 - Prob. 26PCh. 6.3 - Prob. 27PCh. 6.3 - Prob. 28PCh. 6.3 - Prob. 29PCh. 6.3 - Prob. 30PCh. 6.4 - Prob. 1PCh. 6.4 - Prob. 2PCh. 6.4 - Prob. 3PCh. 6.4 - Prob. 4PCh. 6.4 - Prob. 5PCh. 6.4 - Prob. 6PCh. 6.4 - Prob. 7PCh. 6.4 - In each of Problems 1 through 8: a. Sketch the...Ch. 6.4 - Prob. 9PCh. 6.4 - Prob. 10PCh. 6.4 - Prob. 11PCh. 6.4 - Prob. 12PCh. 6.4 - Prob. 13PCh. 6.4 - Prob. 14PCh. 6.4 - Prob. 15PCh. 6.4 - Prob. 16PCh. 6.4 - Prob. 17PCh. 6.5 - Prob. 1PCh. 6.5 - Prob. 2PCh. 6.5 - Prob. 3PCh. 6.5 - Prob. 4PCh. 6.5 - Prob. 5PCh. 6.5 - Prob. 6PCh. 6.5 - Prob. 7PCh. 6.5 - Prob. 8PCh. 6.5 - Prob. 9PCh. 6.5 - Prob. 10PCh. 6.5 - Prob. 11PCh. 6.5 - Prob. 12PCh. 6.5 - Prob. 13PCh. 6.5 - Prob. 14PCh. 6.5 - Prob. 15PCh. 6.5 - Prob. 16PCh. 6.5 - Prob. 17PCh. 6.5 - Prob. 18PCh. 6.5 - Prob. 19PCh. 6.6 - Prob. 1PCh. 6.6 - Prob. 2PCh. 6.6 - Prob. 3PCh. 6.6 - Prob. 4PCh. 6.6 - Prob. 5PCh. 6.6 - In each of Problems 4 through 7, find the Laplace...Ch. 6.6 - Prob. 7PCh. 6.6 - Prob. 8PCh. 6.6 - Prob. 9PCh. 6.6 - Prob. 10PCh. 6.6 - Prob. 11PCh. 6.6 - Prob. 12PCh. 6.6 - Prob. 13PCh. 6.6 - Prob. 14PCh. 6.6 - Prob. 15PCh. 6.6 - Prob. 16PCh. 6.6 - Prob. 17PCh. 6.6 - Prob. 18PCh. 6.6 - Prob. 19PCh. 6.6 - Prob. 20PCh. 6.6 - Prob. 21P
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