Bundle: Understandable Statistics: Concepts And Methods, 12th + Webassign, Single-term Printed Access Card
12th Edition
ISBN: 9781337605199
Author: Charles Henry Brase, Corrinne Pellillo Brase
Publisher: Brooks Cole
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Chapter 8.2, Problem 18P
(i)
To determine
Check the sample mean by using the calculator.
Check the sample standard deviation by using the calculator.
(ii)
To determine
(a)
Find the level of significance.
State the null and alternative hypothesis.
(b)
Identify the sampling distribution to be used.
Explain how the sampling distribution is chosen.
Find the sampling distribution value of the sample test statistic.
(c)
Find the P-value.
Draw the sampling distribution by showing the area corresponding to the P-value.
(d)
Check whether the null hypothesis is rejecting or fail to reject.
Identify whether the data statistically significant at level 0.01 or not.
(e)
Interpret the conclusion in the context of the application.
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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 8 Solutions
Bundle: Understandable Statistics: Concepts And Methods, 12th + Webassign, Single-term Printed Access Card
Ch. 8.1 - Statistical Literacy Discuss each of the following...Ch. 8.1 - Statistical Literacy In a statistical test, we...Ch. 8.1 - Statistical Literacy If we fail to reject (i.e.,...Ch. 8.1 - Statistical Literacy If we reject the null...Ch. 8.1 - Statistical Literacy What terminology do we use...Ch. 8.1 - Prob. 6PCh. 8.1 - Statistical Literacy If the P-value in a...Ch. 8.1 - Statistical Literacy If the P-value in a...Ch. 8.1 - Statistical Literacy Suppose the P-value in a...Ch. 8.1 - Statistical Literacy Suppose the P-value in a...
Ch. 8.1 - Basic Computation: Setting Hypotheses Suppose you...Ch. 8.1 - Basic Computation: Setting Hypotheses Suppose you...Ch. 8.1 - Basic Computation: Find Test Statistic,...Ch. 8.1 - Basic Computation: Find the Test Statistic,...Ch. 8.1 - Veterinary Science: Colts The body weight of a...Ch. 8.1 - Marketing: Shopping Time How much customers buy is...Ch. 8.1 - Meteorology: Storms Weatherwise magazine is...Ch. 8.1 - Chrysler Concorde: Acceleration Consumer Reports...Ch. 8.1 - For Problems 1924, please provide the following...Ch. 8.1 - For Problems 1924, please provide the following...Ch. 8.1 - For Problems 1924, please provide the following...Ch. 8.1 - For Problems 1924, please provide the following...Ch. 8.1 - Prob. 23PCh. 8.1 - Prob. 24PCh. 8.2 - Statistical Literacy For the same sample data and...Ch. 8.2 - Statistical Literacy To test for an x...Ch. 8.2 - Statistical Literacy When using the Students t...Ch. 8.2 - Critical Thinking Consider a test for . If the...Ch. 8.2 - Critical Thinking Consider a test for . If the...Ch. 8.2 - Critical Thinking If sample data is such that for...Ch. 8.2 - Basic Computation: P-value Corresponding to t...Ch. 8.2 - Basic Computation: P-value Corresponding to t...Ch. 8.2 - Basic Computation: Testing , Unknown A random...Ch. 8.2 - Basic Computation: Testing , Unknown A random...Ch. 8.2 - Please provide the following information for...Ch. 8.2 - Please provide the following information for...Ch. 8.2 - Please provide the following information for...Ch. 8.2 - Please provide the following information for...Ch. 8.2 - Please provide the following information for...Ch. 8.2 - Prob. 16PCh. 8.2 - Please provide the following information for...Ch. 8.2 - Prob. 18PCh. 8.2 - Please provide the following information for...Ch. 8.2 - Prob. 20PCh. 8.2 - Prob. 21PCh. 8.2 - Prob. 22PCh. 8.2 - Critical Thinking: One-Tailed versus Two-Tailed...Ch. 8.2 - Prob. 25PCh. 8.2 - Prob. 26PCh. 8.2 - Prob. 27PCh. 8.2 - Prob. 28PCh. 8.2 - Prob. 29PCh. 8.2 - Prob. 30PCh. 8.3 - Statistical Literacy To use the normal...Ch. 8.3 - Statistical Literacy Consider a binomial...Ch. 8.3 - Prob. 3PCh. 8.3 - Critical Thinking An article in a newspaper states...Ch. 8.3 - Basic Computation: Testing p A random sample of 30...Ch. 8.3 - Basic Computation: Testing p A random sample of 60...Ch. 8.3 - Prob. 7PCh. 8.3 - Prob. 8PCh. 8.3 - Prob. 9PCh. 8.3 - For Problems 721, please provide the following...Ch. 8.3 - Prob. 11PCh. 8.3 - For Problems 721, please provide the following...Ch. 8.3 - For Problems 721, please provide the following...Ch. 8.3 - Prob. 14PCh. 8.3 - For Problems 721, please provide the following...Ch. 8.3 - Prob. 16PCh. 8.3 - For Problems 721, please provide the following...Ch. 8.3 - Prob. 18PCh. 8.3 - Prob. 19PCh. 8.3 - Prob. 20PCh. 8.3 - Prob. 21PCh. 8.3 - Prob. 22PCh. 8.3 - Critical Region Method: Testing Proportions Solve...Ch. 8.3 - Prob. 24PCh. 8.4 - Prob. 1PCh. 8.4 - Prob. 2PCh. 8.4 - Prob. 3PCh. 8.4 - Prob. 4PCh. 8.4 - Prob. 5PCh. 8.4 - Prob. 6PCh. 8.4 - Prob. 7PCh. 8.4 - Basic Computation: Paired Differences Test For a...Ch. 8.4 - Prob. 9PCh. 8.4 - Prob. 10PCh. 8.4 - For Problems 921 assume that the distribution of...Ch. 8.4 - For Problems 921 assume that the distribution of...Ch. 8.4 - Prob. 13PCh. 8.4 - Prob. 14PCh. 8.4 - Prob. 15PCh. 8.4 - Prob. 16PCh. 8.4 - For Problems 921 assume that the distribution of...Ch. 8.4 - Prob. 18PCh. 8.4 - Prob. 19PCh. 8.4 - Prob. 20PCh. 8.4 - Prob. 21PCh. 8.4 - Expand Your Knowledge: Confidence Intervals for d...Ch. 8.4 - Prob. 23PCh. 8.4 - Prob. 24PCh. 8.5 - Statistical Literacy Consider a hypothesis test of...Ch. 8.5 - Prob. 2PCh. 8.5 - Prob. 3PCh. 8.5 - Statistical Literacy Consider a hypothesis test of...Ch. 8.5 - Statistical Literacy Consider a hypothesis test of...Ch. 8.5 - Critical Thinking Consider use of a Students t...Ch. 8.5 - Critical Thinking When conducting a test for the...Ch. 8.5 - Critical Thinking When conducting a test for the...Ch. 8.5 - Basic Computation: Testing 1 2 A random sample of...Ch. 8.5 - Basic Computation: Testing 1 2 Two populations...Ch. 8.5 - Basic Computation: Testing 1 2 A random sample of...Ch. 8.5 - Basic Computation: Testing 1 2 Two populations...Ch. 8.5 - Prob. 13PCh. 8.5 - Prob. 14PCh. 8.5 - Please provide the following information for...Ch. 8.5 - Please provide the following information for...Ch. 8.5 - Please provide the following information for...Ch. 8.5 - Please provide the following information for...Ch. 8.5 - Please provide the following information for...Ch. 8.5 - Please provide the following information for...Ch. 8.5 - Prob. 21PCh. 8.5 - Please provide the following information for...Ch. 8.5 - Prob. 23PCh. 8.5 - Prob. 24PCh. 8.5 - Prob. 25PCh. 8.5 - Prob. 26PCh. 8.5 - Prob. 27PCh. 8.5 - Prob. 28PCh. 8.5 - Prob. 29PCh. 8.5 - Prob. 30PCh. 8.5 - Please provide the following information for...Ch. 8.5 - Prob. 32PCh. 8.5 - Prob. 33PCh. 8.5 - Prob. 34PCh. 8.5 - Prob. 35PCh. 8.5 - Prob. 36PCh. 8.5 - Prob. 37PCh. 8.5 - Prob. 38PCh. 8 - Prob. 1CRPCh. 8 - Prob. 2CRPCh. 8 - Critical Thinking All other conditions being...Ch. 8 - Prob. 4CRPCh. 8 - Before you solve each problem below, first...Ch. 8 - Prob. 6CRPCh. 8 - Prob. 7CRPCh. 8 - Prob. 8CRPCh. 8 - Prob. 9CRPCh. 8 - Prob. 10CRPCh. 8 - Prob. 11CRPCh. 8 - Prob. 12CRPCh. 8 - Prob. 13CRPCh. 8 - Prob. 14CRPCh. 8 - Before you solve each problem below, first...Ch. 8 - Prob. 16CRPCh. 8 - Prob. 17CRPCh. 8 - Prob. 18CRPCh. 8 - Discuss each of the following topics in class or...Ch. 8 - Prob. 2LCCh. 8 - Prob. 3LCCh. 8 - Prob. 4LCCh. 8 - Prob. 5LC
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