Elementary Statistics Using Excel (6th Edition)
6th Edition
ISBN: 9780134506623
Author: Mario F. Triola
Publisher: PEARSON
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Chapter 7.4, Problem 12BSC
(a)
To determine
Compute the 99% confidence
Check whether there is a dramatic difference between this confidence interval and the 99% confidence interval found in Exercise 18 in Section 7-2.
(b)
To determine
Compute the 95% confidence interval estimate of the population standard deviation.
Comment whether there is a dramatic difference between this confidence interval when compared to the 95% confidence interval found in Exercise 14 in Section 7-3.
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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.)
Chapter 7 Solutions
Elementary Statistics Using Excel (6th Edition)
Ch. 7.1 - 1. Poll Results in the Media USA Today provided...Ch. 7.1 - 2. Margin of Error For the poll described in...Ch. 7.1 - 3. Notation For the poll described in Exercise 1,...Ch. 7.1 - 4. Confidence Levels Given specific sample data,...Ch. 7.1 - Prob. 5BSCCh. 7.1 - Prob. 6BSCCh. 7.1 - Prob. 7BSCCh. 7.1 - Prob. 8BSCCh. 7.1 - Formats of Confidence Intervals. In Exercises...Ch. 7.1 - Prob. 10BSC
Ch. 7.1 - Prob. 11BSCCh. 7.1 - Prob. 12BSCCh. 7.1 - Constructing and Interpreting Confidence...Ch. 7.1 - Prob. 14BSCCh. 7.1 - Prob. 15BSCCh. 7.1 - Prob. 16BSCCh. 7.1 - Critical Thinking. In Exercises 17–28, use the...Ch. 7.1 - Prob. 18BSCCh. 7.1 - Prob. 19BSCCh. 7.1 - Critical Thinking. In Exercises 17–28, use the...Ch. 7.1 - 21. Touch Therapy When she was 9 years of age,...Ch. 7.1 - Prob. 22BSCCh. 7.1 - Prob. 23BSCCh. 7.1 - Critical Thinking. In Exercises 17–28, use the...Ch. 7.1 - Prob. 25BSCCh. 7.1 - Prob. 26BSCCh. 7.1 - Prob. 27BSCCh. 7.1 - Prob. 28BSCCh. 7.1 - Using Appendix B Data Sets. In Exercises 29 and...Ch. 7.1 - Prob. 30BSCCh. 7.1 - Determining Sample Size. In Exercises 31–38, use...Ch. 7.1 - Determining Sample Size. In Exercises 31–38, use...Ch. 7.1 - Determining Sample Size. In Exercises 31–38, use...Ch. 7.1 - Determining Sample Size. In Exercises 31–38, use...Ch. 7.1 - Prob. 35BSCCh. 7.1 - Prob. 36BSCCh. 7.1 - Prob. 37BSCCh. 7.1 - Prob. 38BSCCh. 7.1 - Prob. 39BBCh. 7.1 - Prob. 40BBCh. 7.1 - Prob. 41BBCh. 7.2 - In Exercises 1–3, refer to the accompanying screen...Ch. 7.2 - Statistical Literacy and Critical Thinking
In...Ch. 7.2 - Prob. 3BSCCh. 7.2 - Prob. 4BSCCh. 7.2 - Prob. 5BSCCh. 7.2 - Prob. 6BSCCh. 7.2 - Prob. 7BSCCh. 7.2 - Prob. 8BSCCh. 7.2 - Prob. 9BSCCh. 7.2 - Prob. 10BSCCh. 7.2 - Prob. 11BSCCh. 7.2 - Prob. 12BSCCh. 7.2 - Prob. 13BSCCh. 7.2 - Prob. 14BSCCh. 7.2 - Prob. 15BSCCh. 7.2 - Confidence Intervals. In Exercises 9–24, construct...Ch. 7.2 - Prob. 17BSCCh. 7.2 - Prob. 18BSCCh. 7.2 - Prob. 19BSCCh. 7.2 - Prob. 20BSCCh. 7.2 - Prob. 21BSCCh. 7.2 - Confidence Intervals. In Exercises 9–24, construct...Ch. 7.2 - Prob. 23BSCCh. 7.2 - Prob. 24BSCCh. 7.2 - Prob. 25BSCCh. 7.2 - In Exercises 25 – 28, use the Appendix B data sets...Ch. 7.2 - In Exercises 25 – 28, use the Appendix B data sets...Ch. 7.2 - Prob. 28BSCCh. 7.2 - Prob. 29BSCCh. 7.2 - Prob. 30BSCCh. 7.2 - Prob. 31BSCCh. 7.2 - Prob. 32BSCCh. 7.2 - Prob. 33BSCCh. 7.2 - Prob. 34BSCCh. 7.2 - Prob. 35BSCCh. 7.2 - Prob. 36BSCCh. 7.2 - Prob. 37BBCh. 7.2 - Prob. 38BBCh. 7.2 - Prob. 39BBCh. 7.3 - Prob. 1BSCCh. 7.3 - Prob. 2BSCCh. 7.3 - Prob. 3BSCCh. 7.3 - 4. Normality Requirement What is different about...Ch. 7.3 - Prob. 5BSCCh. 7.3 - Prob. 6BSCCh. 7.3 - Prob. 7BSCCh. 7.3 - Prob. 8BSCCh. 7.3 - Prob. 9BSCCh. 7.3 - Finding Confidence Intervals. In Exercises 9–16,...Ch. 7.3 - Prob. 11BSCCh. 7.3 - Prob. 12BSCCh. 7.3 - Prob. 13BSCCh. 7.3 - Prob. 14BSCCh. 7.3 - Finding Confidence Intervals. In Exercises 9–16,...Ch. 7.3 - 16. Comparing Waiting Lines
a. The values listed...Ch. 7.3 - Prob. 17BSCCh. 7.3 - Prob. 18BSCCh. 7.3 - Prob. 19BSCCh. 7.3 - Prob. 20BSCCh. 7.3 - Prob. 21BSCCh. 7.3 - Prob. 22BSCCh. 7.3 - Prob. 23BBCh. 7.3 - Prob. 24BBCh. 7.4 - Prob. 1BSCCh. 7.4 - Prob. 2BSCCh. 7.4 - 3. Bootstrap Sample Given the sample data from...Ch. 7.4 - Prob. 4BSCCh. 7.4 - Prob. 5BSCCh. 7.4 - Prob. 6BSCCh. 7.4 - Prob. 7BSCCh. 7.4 - Prob. 8BSCCh. 7.4 - Prob. 9BSCCh. 7.4 - Prob. 10BSCCh. 7.4 - Prob. 11BSCCh. 7.4 - Prob. 12BSCCh. 7.4 - Prob. 17BSCCh. 7.4 - Prob. 18BSCCh. 7.4 - Prob. 19BSCCh. 7.4 - Prob. 20BSCCh. 7.4 - Analysis of Last Digits Weights of respondents...Ch. 7.4 - Analysis of Last Digits Repeat Exercise 21...Ch. 7.4 - Prob. 23BBCh. 7.4 - Prob. 24BBCh. 7 - Prob. 1CQQCh. 7 - Prob. 2CQQCh. 7 - Prob. 3CQQCh. 7 - 4. Loose Change USA Today reported that 40% of...Ch. 7 - 5. Sample Size for Proportion Find the sample size...Ch. 7 - Prob. 6CQQCh. 7 - Prob. 7CQQCh. 7 - Prob. 8CQQCh. 7 - Prob. 9CQQCh. 7 - Prob. 10CQQCh. 7 - Prob. 1RECh. 7 - Prob. 2RECh. 7 - Prob. 3RECh. 7 - Prob. 4RECh. 7 - Prob. 5RECh. 7 - Prob. 6RECh. 7 - Prob. 7RECh. 7 - Prob. 8RECh. 7 - Prob. 9RECh. 7 - Prob. 1CRECh. 7 - Prob. 2CRECh. 7 - Prob. 3CRECh. 7 - Prob. 4CRECh. 7 - Prob. 5CRECh. 7 - Prob. 6CRECh. 7 - Prob. 7CRECh. 7 - Prob. 8CRECh. 7 - Prob. 1EPCh. 7 - Prob. 1FDDCh. 7 - Prob. 2FDDCh. 7 - Prob. 3FDDCh. 7 - Prob. 4FDDCh. 7 - Prob. 5FDD
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