Elementary Statistics Using Excel (6th Edition)
Elementary Statistics Using Excel (6th Edition)
6th Edition
ISBN: 9780134506623
Author: Mario F. Triola
Publisher: PEARSON
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Chapter 6.5, Problem 22BB
To determine

Test whether the data come from a normally distributed population.

Test whether the data come from a normally distributed population after taking logarithm for each value.

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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.)
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?
We consider a 4-dimensional stock price model given (under P) by dẴ₁ = µ· Xt dt + йt · ΣdŴt where (W) is an n-dimensional Brownian motion, π = (0.02, 0.01, -0.02, 0.05), 0.2 0 0 0 0.3 0.4 0 0 Σ= -0.1 -4a За 0 0.2 0.4 -0.1 0.2) and a E R. We assume that ☑0 = (1, 1, 1, 1) and that the interest rate on the market is r = 0.02. (a) Give a condition on a that would make stock #3 be the one with largest volatility. (b) Find the diversification coefficient for this portfolio as a function of a. (c) Determine the maximum diversification coefficient d that you could reach by varying the value of a? 2

Chapter 6 Solutions

Elementary Statistics Using Excel (6th Edition)

Ch. 6.1 - Standard Normal Distribution. In Exercises 9–12,...Ch. 6.1 - Standard Normal Distribution. In Exercises 9–12,...Ch. 6.1 - Standard Normal Distribution. In Exercises 13–16,...Ch. 6.1 - Standard Normal Distribution. In Exercises 13–16,...Ch. 6.1 - Standard Normal Distribution. In Exercises 13–16,...Ch. 6.1 - Standard Normal Distribution. In Exercises 13–16,...Ch. 6.1 - Standard Normal Distribution. In Exercises 17–36,...Ch. 6.1 - Standard Normal Distribution. In Exercises 17–36,...Ch. 6.1 - Prob. 19BSCCh. 6.1 - Standard Normal Distribution. In Exercises 17–36,...Ch. 6.1 - Standard Normal Distribution. In Exercises 17–36,...Ch. 6.1 - Standard Normal Distribution. In Exercises 17–36,...Ch. 6.1 - Prob. 23BSCCh. 6.1 - Standard Normal Distribution. In Exercises 17–36,...Ch. 6.1 - Standard Normal Distribution. In Exercises 17–36,...Ch. 6.1 - Standard Normal Distribution. In Exercises 17–36,...Ch. 6.1 - Prob. 27BSCCh. 6.1 - Standard Normal Distribution. In Exercises 17–36,...Ch. 6.1 - Standard Normal Distribution. In Exercises 17–36,...Ch. 6.1 - Standard Normal Distribution. In Exercises 17–36,...Ch. 6.1 - Prob. 31BSCCh. 6.1 - Standard Normal Distribution. In Exercises 17–36,...Ch. 6.1 - Prob. 33BSCCh. 6.1 - Standard Normal Distribution. In Exercises 17–36,...Ch. 6.1 - Prob. 35BSCCh. 6.1 - Standard Normal Distribution. In Exercises 17–36,...Ch. 6.1 - Finding Bone Density Scores. In Exercises 37–40...Ch. 6.1 - Finding Bone Density Scores. In Exercises 37–40...Ch. 6.1 - Finding Bone Density Scores. In Exercises 37–40...Ch. 6.1 - Finding Bone Density Scores. In Exercises 37–40...Ch. 6.1 - Critical Values. In Exercises 41–44, find the...Ch. 6.1 - Critical Values. In Exercises 41–44, find the...Ch. 6.1 - Critical Values. In Exercises 41–44, find the...Ch. 6.1 - Critical Values. In Exercises 41–44, find the...Ch. 6.1 - Prob. 45BSCCh. 6.1 - Prob. 46BSCCh. 6.1 - Prob. 47BSCCh. 6.1 - Prob. 48BSCCh. 6.1 - Prob. 49BSCCh. 6.1 - Prob. 50BSCCh. 6.2 - 1. Birth Weights Based on Data Set 4 “Births” in...Ch. 6.2 - Prob. 2BSCCh. 6.2 - Prob. 3BSCCh. 6.2 - Prob. 4BSCCh. 6.2 - IQ Scores. In Exercises 5–8, find the area of the...Ch. 6.2 - IQ Scores. In Exercises 5–8, find the area of the...Ch. 6.2 - Prob. 7BSCCh. 6.2 - IQ Scores. In Exercises 5–8, find the area of the...Ch. 6.2 - IQ Scores. In Exercises 9–12, find the indicated...Ch. 6.2 - IQ Scores. In Exercises 9–12, find the indicated...Ch. 6.2 - Prob. 11BSCCh. 6.2 - Prob. 12BSCCh. 6.2 - Seat Designs. In Exercises 13–20, use the data in...Ch. 6.2 - Prob. 14BSCCh. 6.2 - Seat Designs. In Exercises 13–20, use the data in...Ch. 6.2 - Prob. 16BSCCh. 6.2 - Seat Designs. In Exercises 13–20, use the data in...Ch. 6.2 - Prob. 18BSCCh. 6.2 - Prob. 19BSCCh. 6.2 - Prob. 20BSCCh. 6.2 - Prob. 21BSCCh. 6.2 - In Exercises 21–24, use these parameters (based on...Ch. 6.2 - In Exercises 21–24, use these parameters (based on...Ch. 6.2 - Prob. 24BSCCh. 6.2 - 25. Eye Contact In a study of facial behavior,...Ch. 6.2 - Prob. 26BSCCh. 6.2 - Prob. 27BSCCh. 6.2 - Prob. 28BSCCh. 6.2 - 29. Low Birth Weight The University of Maryland...Ch. 6.2 - Prob. 30BSCCh. 6.2 - 31. Durations of Pregnancies The lengths of...Ch. 6.2 - Prob. 32BSCCh. 6.2 - Prob. 33BSCCh. 6.2 - Large Data Sets. In Exercises 33 and 34, refer to...Ch. 6.2 - Prob. 35BBCh. 6.2 - Prob. 36BBCh. 6.3 - Prob. 1BSCCh. 6.3 - 2. Sampling with Replacement The Orangetown...Ch. 6.3 - Prob. 3BSCCh. 6.3 - Prob. 4BSCCh. 6.3 - Prob. 5BSCCh. 6.3 - Prob. 6BSCCh. 6.3 - Prob. 7BSCCh. 6.3 - Prob. 8BSCCh. 6.3 - Prob. 9BSCCh. 6.3 - In Exercises 7–10, use the same population of {4,...Ch. 6.3 - In Exercises 11–14, use the population of {34, 36,...Ch. 6.3 - Prob. 12BSCCh. 6.3 - In Exercises 11–14, use the population of {34, 36,...Ch. 6.3 - Prob. 14BSCCh. 6.3 - Prob. 15BSCCh. 6.3 - Prob. 16BSCCh. 6.3 - Prob. 17BSCCh. 6.3 - Prob. 18BSCCh. 6.3 - Prob. 19BBCh. 6.3 - Prob. 20BBCh. 6.4 - Prob. 1BSCCh. 6.4 - Prob. 2BSCCh. 6.4 - Prob. 3BSCCh. 6.4 - Prob. 4BSCCh. 6.4 - Using the Central Limit Theorem. In Exercises 5–8,...Ch. 6.4 - Prob. 6BSCCh. 6.4 - Prob. 7BSCCh. 6.4 - Prob. 8BSCCh. 6.4 - Prob. 9BSCCh. 6.4 - Prob. 10BSCCh. 6.4 - Prob. 11BSCCh. 6.4 - Prob. 12BSCCh. 6.4 - Prob. 13BSCCh. 6.4 - Prob. 14BSCCh. 6.4 - Prob. 15BSCCh. 6.4 - Prob. 16BSCCh. 6.4 - Prob. 17BSCCh. 6.4 - 18. Loading a Tour Boat The Ethan Allen tour boat...Ch. 6.4 - Prob. 19BSCCh. 6.4 - Prob. 20BSCCh. 6.4 - Prob. 21BBCh. 6.5 - 1. Normal Quantile Plot Data Set 1 “Body Data” in...Ch. 6.5 - Prob. 2BSCCh. 6.5 - Prob. 3BSCCh. 6.5 - Prob. 4BSCCh. 6.5 - Prob. 5BSCCh. 6.5 - Prob. 6BSCCh. 6.5 - Prob. 7BSCCh. 6.5 - Prob. 8BSCCh. 6.5 - Prob. 9BSCCh. 6.5 - Prob. 10BSCCh. 6.5 - Prob. 11BSCCh. 6.5 - Prob. 12BSCCh. 6.5 - Prob. 13BSCCh. 6.5 - Prob. 14BSCCh. 6.5 - Prob. 15BSCCh. 6.5 - Prob. 16BSCCh. 6.5 - Prob. 17BSCCh. 6.5 - Prob. 18BSCCh. 6.5 - Constructing Normal Quantile Plots. In Exercises...Ch. 6.5 - Prob. 20BSCCh. 6.5 - Prob. 21BBCh. 6.5 - Prob. 22BBCh. 6.6 - 1. Continuity Correction In testing the assumption...Ch. 6.6 - Prob. 2BSCCh. 6.6 - Prob. 3BSCCh. 6.6 - Prob. 4BSCCh. 6.6 - Prob. 5BSCCh. 6.6 - Prob. 6BSCCh. 6.6 - Prob. 7BSCCh. 6.6 - Prob. 8BSCCh. 6.6 - Prob. 9BSCCh. 6.6 - Car Colors. In Exercises 9–12, assume that 100...Ch. 6.6 - Car Colors. In Exercises 9–12, assume that 100...Ch. 6.6 - Car Colors. In Exercises 9–12, assume that 100...Ch. 6.6 - 13. Tennis Replay In the year that this exercise...Ch. 6.6 - 14. Tennis Replay Repeat the preceding exercise...Ch. 6.6 - 15. Smartphones Based on an LG smartphone survey,...Ch. 6.6 - Prob. 16BSCCh. 6.6 - Prob. 17BSCCh. 6.6 - Prob. 18BSCCh. 6.6 - Prob. 19BSCCh. 6.6 - Prob. 20BSCCh. 6.6 - Prob. 21BBCh. 6.6 - Prob. 22BBCh. 6 - Prob. 1RECh. 6 - Bone Density Test. In Exercises 1–4, assume that...Ch. 6 - Prob. 3RECh. 6 - Prob. 4RECh. 6 - Prob. 5RECh. 6 - Prob. 6RECh. 6 - Prob. 7RECh. 6 - Prob. 8RECh. 6 - Prob. 9RECh. 6 - Prob. 10RECh. 6 - Prob. 1.1RECh. 6 - Prob. 1.2RECh. 6 - Prob. 1.3RECh. 6 - Prob. 1.4RECh. 6 - Prob. 1.5RECh. 6 - Prob. 1.6RECh. 6 - Prob. 1.7RECh. 6 - Prob. 1.8RECh. 6 - Prob. 1.9RECh. 6 - Prob. 1.10RECh. 6 - Prob. 1CRECh. 6 - Prob. 4CRECh. 6 - Prob. 5CRECh. 6 - Prob. 1EPCh. 6 - Prob. 2EPCh. 6 - Prob. 1FDD
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