Numerical Analysis
3rd Edition
ISBN: 9780134696454
Author: Sauer, Tim
Publisher: Pearson,
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Chapter 8.2, Problem 4CP
To determine
To find: the 8 order Trigonometric interpolating function using in matlab program.
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The purpose of this problem is to solve the Black-Scholes PDE with analytical techniques,
which will lead us back to the Black-Scholes formula. The technique is very similar to the
one used with the Feynman-Kac formula back in MATH 467.
Let's consider the PDE given by
with terminal condition f(T,x)
af
+
Ət
1
02
ર
.2მ2 f
af
მ2
+rx
მე
- rf = 0,
=
(x-K)+. The solution f(t, x) corresponds to the price
of a call option (given the initial condition) at time t if the stock price is x.
(a) The first two things that prevent us from solving this PDE directly are
(i) the fact that we have a terminal condition, instead of an initial condition;
(ii) the terms in front of the derivatives are not constant.
To address these, we use the transformation g(t, x) = ƒ(T − t,e³), equivalent to
f(t, x) = g(T-t, log(x)). Under this condition, determine the PDE and the initial
condition satisfied by g.
(b) Now, the PDE obtained in (a) should have an initial condition and constant coeffi-
cients, but it still…
٣:٥٣
النموذج الاول
. . .
O O O
بشما ند الحمر الحمر
الجمهورية الجنية
وزارة التربية والتعليم
اليوم
التاريخ
اللجنة العليا للاختبارات
الزمن
اختبار مادة الجبر والهندسة
لجنة المطابع السرية المركزية
للشهادة الثانوية العامة (القسم العلمي)
الفترة
%97
(1)
ظلل في ورقة الإجابة الدائرة التي تحتوي على الحرف ( ص ) للإجابة الصحيحة والحرف ( خ ) للإجابة الخطأ بحسب رقم الفقرة لكل مما يأتي ( درجة لكل فقرة )
)1
)
2
)
3
)
4
) بؤرة القطع س" = ١٢ ص هي (
۲
) طول المحور الأصغر للقطع ٩ س + ص = ٩ يساوي 6 وحدات طول .
) إذا كان & عدد مركب ، 181 + 11 = ٦ ، فإن ١١ = ٣ .
) إذا كان م + ۳ ت = ۲ + ت ب م ، ب دع ، فإن م + ب =
5 ( ) إذا كان & = ۱ + ٣ ت ، فإن ٠ = ١٠ .
6 ( - ) إذا كان ٥٠ - ٣ - ١٢٠ ٤ - ٣ ، فإن قيمة ٧ = ٥ .
1
)
=
N
) إذا كان ح هو الحد الخالي من س في المفكوك ( س +
v. N
8 ( ( قيمة المقدار , = + ۱ ، * . . +
، فإن قيمة ٧ = ١٦ .
۱ +
9 ( ) المستقيمان المقاربان للقطع الذي معادلته س" = ١ هما ص = :
۹
10 ( ) إذا كان ٥ + س = ٢٤ ، فإن قيمة س = - 1
س
11 ( ) إذا كانت النسبة بين الحدين الأوسطين تساوي 9 في المفكوك ( س + - ) ،…
الاسم
يمنع استخدام الآلة الحاسبة
ظلل في ورقة الإجابة الدائرة التي تحتوي على الحرف (ص) للإجابة الصحيحة والحرف (خ) للإجابة الخطأ بحسب رقم الفقرة لكل مما يأتي:
درجة لكل فقرة.
( ) نها جا
元
جتا
= صفر
س ۱
س
س -۱
( ) يمكن إعادة تعريف الدالة د(س) = س قاس لكي تكون متصلة عند س = 7
( ) إذا كانت د(س) = (٢) س - س ) ؛ فإن د(١) = ٦
٢ س ص ( ) إذا كانت س +
0=
؛ فإن عند ) - ١ ، - ٦ ) تساوي (٦)
( ) إذا كانت د(س) = س ه ، و (س) = ٣ س ٢ + ٢ س ؛ فإن ( د ) (۱) = ۸
) ( معادلة ناظم الدالة ص = د(س) عند النقطة ) ( ، د (۲)) هي ص - (د (م) - - د (۲) ( س - م )
( ) إذا كانت ص = ظتا٢ س ؛ فإن ص = ٢ ص قتا ٢س
) ( إذا كانت د(س) = س ؛ فإن د (T) =
جتاس
1-
T
( ) إذا كانت د(س) = 1 - جناس
جاس
؛ فإن د () = - 1
( ) إذا كانت الدالة د (س) تحقق شروط مبرهنة القيمة المتوسطة على [ ، ب ] ، فإنه يوجد جـ ] ، ب [ بحيث (جـ) =
(P) + (~)- -
ب + P
1
2
3
4
5
6
7
8
9
10
11
( ) للدالة د(س) = لو ( س ) + (٣) نقطة حرجة عند س = .
( ) إذا كان س = - ٢ مقارباً رأسياً للدالة د(س)
12
10 13
14
15
16
17
س = لو|س | + ث
-
=
۲ س + ٣
ب س + ٤ ، فإن معادلة…
Chapter 8 Solutions
Numerical Analysis
Ch. 8.1 - Prove that the functions (a) u(x,t)=e2t+x+e2tx,...Ch. 8.1 - Prove that the functions (a) u(x,t)=etsinx, (b)...Ch. 8.1 - Prove that if f(x) is a degree 3 polynomial, then...Ch. 8.1 - Prob. 4ECh. 8.1 - Verify the eigenvector equation (8.13).Ch. 8.1 - Show that the nonzero vectors vj in (8.12 ), for...Ch. 8.1 - Prob. 1CPCh. 8.1 - Consider the equation ut=uxx for 0x1, 0t1 with the...Ch. 8.1 - Prob. 3CPCh. 8.1 - Use the Backward Difference Method to solve the...
Ch. 8.1 - Use the Crank-Nicolson Method to solve the...Ch. 8.1 - Prob. 6CPCh. 8.1 - Prob. 7CPCh. 8.1 - Setting C=D=1 in the population model (8.26), use...Ch. 8.2 - Prove that the functions (a) u(x,t)=sinxcos4t, (b)...Ch. 8.2 - Prove that the functions (a) u(x,t)=sinxsin2t, (b)...Ch. 8.2 - Prove that u1(x,t)=sinxcosct and u2(x,t)=ex+ct are...Ch. 8.2 - Prove that if s(X) is twice differentiable, then...Ch. 8.2 - Prove that the eigenvalues of A in (8.33) lie...Ch. 8.2 - Let be a complex number. (a) Prove that if +1/ is...Ch. 8.2 - Solve the initial-boundary value problems in...Ch. 8.2 - Solve the initial-boundary value problems in...Ch. 8.2 - Prob. 3CPCh. 8.2 - Prob. 4CPCh. 8.3 - Show that u(x,y)=ln(x2+y2) is a solution to the...Ch. 8.3 - Prob. 2ECh. 8.3 - Prove that the functions (a) u(x,y)=eysinx, (b)...Ch. 8.3 - Prove that the functions (a) u(x,y)=exy, (b)...Ch. 8.3 - Prove that the functions (a) u(x,y)=sin2xy, (b)...Ch. 8.3 - Prove that the functions (a) u(x,y)=ex+2y, (b)...Ch. 8.3 - Prob. 7ECh. 8.3 - Show that the barycenter of a triangle with...Ch. 8.3 - Prove Lemma 8.9 .Ch. 8.3 - Prove Lemma 8.10.Ch. 8.3 - Prob. 11ECh. 8.3 - Prob. 12ECh. 8.3 - Prob. 13ECh. 8.3 - Solve the Laplace equation problems in Exercise 3...Ch. 8.3 - Prob. 2CPCh. 8.3 - Prob. 3CPCh. 8.3 - Prob. 4CPCh. 8.3 - Prob. 5CPCh. 8.3 - The steady-state temperature u on a heated copper...Ch. 8.3 - Prob. 7CPCh. 8.3 - Prob. 8CPCh. 8.3 - Solve the Laplace equation problems in Exercise 3...Ch. 8.3 - Solve the Poisson equation problems in Exercise 4...Ch. 8.3 - Solve the elliptic partial differential equations...Ch. 8.3 - Prob. 12CPCh. 8.3 - Prob. 13CPCh. 8.3 - Solve the elliptic partial differential equations...Ch. 8.3 - Prob. 15CPCh. 8.3 - Prob. 16CPCh. 8.3 - For the elliptic equations in Exercise 7, make a...Ch. 8.3 - Solve the Laplace equation with Dirichlet boundary...Ch. 8.4 - Show that for any constant c, the function...Ch. 8.4 - Show that over an interval [ x1,xr ] not...Ch. 8.4 - Prob. 3ECh. 8.4 - Prob. 4ECh. 8.4 - Prob. 5ECh. 8.4 - Prob. 6ECh. 8.4 - Prob. 1CPCh. 8.4 - Prob. 2CPCh. 8.4 - Solve Fishers equation (8.69) with...Ch. 8.4 - Prob. 4CPCh. 8.4 - Solve the Brusselator equations for...Ch. 8.4 - Prob. 6CP
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