Fundamentals of Biostatistics
Fundamentals of Biostatistics
8th Edition
ISBN: 9781305268920
Author: Bernard Rosner
Publisher: Cengage Learning
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Chapter 8, Problem 150P
To determine

State the test that can be used to compare the mean HgbA1c 1 year before versus mean HgbA1c 1 year after use of the insulin pump.

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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 8 Solutions

Fundamentals of Biostatistics

Ch. 8 - The mean 1 sd of ln [calcium intake (mg)] among 25...Ch. 8 - The mean 1 sd of ln [calcium intake (mg)] among 25...Ch. 8 - The mean 1 sd of ln [calcium intake (mg)] among 25...Ch. 8 - Refer to the data in Table 2.13. Table 2.13...Ch. 8 - Refer to the data in Table 2.13. What is the...Ch. 8 - Refer to the data in Table 2.13. Perform the...Ch. 8 - Refer to the data in Table 2.13. What is the...Ch. 8 - Refer to the data in Table 2.13. Compute a 95% CI...Ch. 8 - The drug diflunisal is used to treat mild to...Ch. 8 - The drug diflunisal is used to treat mild to...Ch. 8 - The drug diflunisal is used to treat mild to...Ch. 8 - The drug diflunisal is used to treat mild to...Ch. 8 - A study in Pittsburgh measured various...Ch. 8 - A study in Pittsburgh measured various...Ch. 8 - A 1980 study was conducted whose purpose was to...Ch. 8 - A 1980 study was conducted whose purpose was to...Ch. 8 - A 1980 study was conducted whose purpose was to...Ch. 8 - A camera has been developed to detect the presence...Ch. 8 - A camera has been developed to detect the presence...Ch. 8 - A camera has been developed to detect the presence...Ch. 8 - Prob. 31PCh. 8 - Prob. 32PCh. 8 - Prob. 33PCh. 8 - A possible important environmental determinant of...Ch. 8 - A possible important environmental determinant of...Ch. 8 - A possible important environmental determinant of...Ch. 8 - A possible important environmental determinant of...Ch. 8 - Prob. 38PCh. 8 - The degree of clinical agreement among physicians...Ch. 8 - The degree of clinical agreement among physicians...Ch. 8 - The degree of clinical agreement among physicians...Ch. 8 - The degree of clinical agreement among physicians...Ch. 8 - The degree of clinical agreement among physicians...Ch. 8 - Ten patients with advanced diabetic nephropathy...Ch. 8 - Ten patients with advanced diabetic nephropathy...Ch. 8 - Ten patients with advanced diabetic nephropathy...Ch. 8 - Ten patients with advanced diabetic nephropathy...Ch. 8 - A study was conducted of genetic and environmental...Ch. 8 - A study was conducted of genetic and environmental...Ch. 8 - Prob. 51PCh. 8 - Prob. 52PCh. 8 - Prob. 53PCh. 8 - Prob. 54PCh. 8 - Prob. 55PCh. 8 - Prob. 56PCh. 8 - Prob. 57PCh. 8 - Prob. 58PCh. 8 - Prob. 59PCh. 8 - Prob. 60PCh. 8 - Prob. 61PCh. 8 - Prob. 62PCh. 8 - Prob. 63PCh. 8 - A study was conducted [12] comparing muscle...Ch. 8 - Prob. 65PCh. 8 - A clinical trial compared percutaneous...Ch. 8 - Prob. 68PCh. 8 - Prob. 69PCh. 8 - An experiment was conducted to examine the...Ch. 8 - An experiment was conducted to examine the...Ch. 8 - An experiment was conducted to examine the...Ch. 8 - Prob. 73PCh. 8 - Prob. 74PCh. 8 - Prob. 75PCh. 8 - Prob. 77PCh. 8 - A study was performed looking at the effect of...Ch. 8 - A study was performed looking at the effect of...Ch. 8 - A study was performed looking at the effect of...Ch. 8 - Prob. 81PCh. 8 - Prob. 82PCh. 8 - Prob. 83PCh. 8 - Tennis elbow is a painful condition that afflicts...Ch. 8 - Prob. 85PCh. 8 - Prob. 86PCh. 8 - Prob. 87PCh. 8 - Prob. 88PCh. 8 - A study compared mean electroretinogram (ERG)...Ch. 8 - A study compared mean electroretinogram (ERG)...Ch. 8 - A study compared mean electroretinogram (ERG)...Ch. 8 - A study compared mean electroretinogram (ERG)...Ch. 8 - A study compared mean electroretinogram (ERG)...Ch. 8 - Prob. 94PCh. 8 - Prob. 95PCh. 8 - Prob. 96PCh. 8 - Prob. 98PCh. 8 - A study was performed to determine the effect of...Ch. 8 - A study was performed to determine the effect of...Ch. 8 - A study was performed to determine the effect of...Ch. 8 - A study was performed to determine the effect of...Ch. 8 - A study is being planned to assess whether a...Ch. 8 - A study is being planned to assess whether a...Ch. 8 - Prob. 105PCh. 8 - Prob. 106PCh. 8 - Left ventricular mass (LVM) is an important risk...Ch. 8 - Left ventricular mass (LVM) is an important risk...Ch. 8 - Prob. 109PCh. 8 - Prob. 110PCh. 8 - Prob. 111PCh. 8 - A study sought to demonstrate that soy beans...Ch. 8 - Prob. 113PCh. 8 - A study sought to demonstrate that soy beans...Ch. 8 - study was recently reported comparing the effects...Ch. 8 - study was recently reported comparing the effects...Ch. 8 - study was recently reported comparing the effects...Ch. 8 - study was recently reported comparing the effects...Ch. 8 - The Diabetes Prevention Study was a randomized...Ch. 8 - Prob. 122PCh. 8 - Prob. 123PCh. 8 - Prob. 124PCh. 8 - Prob. 125PCh. 8 - Prob. 126PCh. 8 - Prob. 127PCh. 8 - A study looked at the influence of retirement on...Ch. 8 - Cigarette smoking has important health...Ch. 8 - Cigarette smoking has important health...Ch. 8 - Cigarette smoking has important health...Ch. 8 - Cigarette smoking has important health...Ch. 8 - Cigarette smoking has important health...Ch. 8 - Prob. 134PCh. 8 - Prob. 135PCh. 8 - Prob. 136PCh. 8 - Prob. 137PCh. 8 - Prob. 138PCh. 8 - Prob. 142PCh. 8 - Prob. 143PCh. 8 - Prob. 144PCh. 8 - Prob. 145PCh. 8 - A study of genetic factors related to coronary...Ch. 8 - A study of genetic factors related to coronary...Ch. 8 - A study of genetic factors related to coronary...Ch. 8 - Prob. 149PCh. 8 - Prob. 150PCh. 8 - Prob. 151PCh. 8 - Prob. 152PCh. 8 - Prob. 153PCh. 8 - Prob. 154PCh. 8 - Prob. 155PCh. 8 - An individual has been exercising at a local gym...Ch. 8 - Prob. 157PCh. 8 - Suppose we have two groups with sample sizes of 8...Ch. 8 - Suppose we have two groups with sample sizes of 8...Ch. 8 - Suppose we have two groups with sample sizes of 8...Ch. 8 - In a 5-year follow-up of bilateral stimulation of...Ch. 8 - In a 5-year follow-up of bilateral stimulation of...Ch. 8 - In a 5-year follow-up of bilateral stimulation of...Ch. 8 - The following data are from a study on Botox...Ch. 8 - The following data are from a study on Botox...Ch. 8 - Prob. 166PCh. 8 - Prob. 167PCh. 8 - Prob. 168PCh. 8 - The EPIC-Norfolk study, a study of diet and cancer...Ch. 8 - Prob. 170PCh. 8 - Prob. 171PCh. 8 - Prob. 172PCh. 8 - Prob. 173PCh. 8 - Prob. 174PCh. 8 - Prob. 175PCh. 8 - Prob. 176P
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