Elementary Statistics Using Excel (6th Edition)
6th Edition
ISBN: 9780134506623
Author: Mario F. Triola
Publisher: PEARSON
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Chapter 8.3, Problem 2BSC
To determine
To denote: The term df and its 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.)
Chapter 8 Solutions
Elementary Statistics Using Excel (6th Edition)
Ch. 8.1 - 1. Vitamin C and Aspirin A bottle contains a label...Ch. 8.1 - 2. Estimates and Hypothesis Tests Data Set 3 “Body...Ch. 8.1 - 3. Mean Height of Men A formal hypothesis test is...Ch. 8.1 - 4. Interpreting P-value The Ericsson method is one...Ch. 8.1 - Identifying H0 and H1. In Exercises 5–8, do the...Ch. 8.1 - Identifying H0 and H1. In Exercises 5–8, do the...Ch. 8.1 - Prob. 7BSCCh. 8.1 - Identifying H0 and H1. In Exercises 5–8, do the...Ch. 8.1 - Prob. 9BSCCh. 8.1 - Conclusions. In Exercises 9 – 12, refer to the...
Ch. 8.1 - Prob. 11BSCCh. 8.1 - Conclusions. In Exercises 9 – 12, refer to the...Ch. 8.1 - Prob. 13BSCCh. 8.1 - Prob. 14BSCCh. 8.1 - Prob. 15BSCCh. 8.1 - Prob. 16BSCCh. 8.1 - Prob. 17BSCCh. 8.1 - P -Values. In Exercises 17 ‒ 20, do the...Ch. 8.1 - P -Values. In Exercises 17 ‒ 20, do the...Ch. 8.1 - Prob. 20BSCCh. 8.1 - Prob. 21BSCCh. 8.1 - Prob. 22BSCCh. 8.1 - Prob. 23BSCCh. 8.1 - Prob. 24BSCCh. 8.1 - Prob. 25BSCCh. 8.1 - Prob. 26BSCCh. 8.1 - Prob. 27BSCCh. 8.1 - Final Conclusions. In Exercises 25–28, use a...Ch. 8.1 - Prob. 29BSCCh. 8.1 - Prob. 30BSCCh. 8.1 - Prob. 31BSCCh. 8.1 - Prob. 32BSCCh. 8.1 - Prob. 33BBCh. 8.1 - Prob. 34BBCh. 8.1 - Prob. 35BBCh. 8.2 - In Exercises 1–4, use these results from a USA...Ch. 8.2 - Prob. 2BSCCh. 8.2 - Prob. 3BSCCh. 8.2 - Prob. 4BSCCh. 8.2 - Prob. 5BSCCh. 8.2 - Prob. 6BSCCh. 8.2 - Prob. 7BSCCh. 8.2 - Prob. 8BSCCh. 8.2 - Prob. 9BSCCh. 8.2 - Prob. 10BSCCh. 8.2 - Prob. 11BSCCh. 8.2 - Prob. 12BSCCh. 8.2 - Testing Claims About Proportions. In Exercises 9 –...Ch. 8.2 - Prob. 14BSCCh. 8.2 - Prob. 15BSCCh. 8.2 - Prob. 16BSCCh. 8.2 - Prob. 17BSCCh. 8.2 - Prob. 18BSCCh. 8.2 - Prob. 19BSCCh. 8.2 - Prob. 20BSCCh. 8.2 - Prob. 21BSCCh. 8.2 - Prob. 22BSCCh. 8.2 - Prob. 23BSCCh. 8.2 - Prob. 24BSCCh. 8.2 - Prob. 25BSCCh. 8.2 - Prob. 26BSCCh. 8.2 - Prob. 27BSCCh. 8.2 - Prob. 28BSCCh. 8.2 - Prob. 29BSCCh. 8.2 - Prob. 30BSCCh. 8.2 - Prob. 31BSCCh. 8.2 - Prob. 32BSCCh. 8.2 - Prob. 33BBCh. 8.2 - Prob. 34BBCh. 8.2 - Prob. 35BBCh. 8.3 - Video Games: Checking Requirements Twelve...Ch. 8.3 - Prob. 2BSCCh. 8.3 - Prob. 3BSCCh. 8.3 - Prob. 4BSCCh. 8.3 - Prob. 5BSCCh. 8.3 - Prob. 6BSCCh. 8.3 - Prob. 7BSCCh. 8.3 - Prob. 8BSCCh. 8.3 - Prob. 9BSCCh. 8.3 - Prob. 10BSCCh. 8.3 - Prob. 11BSCCh. 8.3 - Prob. 12BSCCh. 8.3 - Prob. 13BSCCh. 8.3 - Testing Hypotheses. In Exercises 13–24, assume...Ch. 8.3 - Prob. 15BSCCh. 8.3 - Prob. 16BSCCh. 8.3 - Prob. 17BSCCh. 8.3 - Testing Hypotheses. In Exercises 13–24, assume...Ch. 8.3 - Prob. 19BSCCh. 8.3 - Prob. 20BSCCh. 8.3 - Prob. 21BSCCh. 8.3 - Prob. 22BSCCh. 8.3 - Prob. 23BSCCh. 8.3 - Testing Hypotheses. In Exercises 13–24, assume...Ch. 8.3 - Prob. 25BSCCh. 8.3 - Prob. 26BSCCh. 8.3 - Prob. 27BSCCh. 8.3 - Prob. 28BSCCh. 8.3 - Prob. 31BBCh. 8.3 - 32. Interpreting Power For the sample data in...Ch. 8.4 - Prob. 1BSCCh. 8.4 - Cans of Coke Use the data and the claim given in...Ch. 8.4 - Prob. 3BSCCh. 8.4 - Prob. 4BSCCh. 8.4 - Prob. 5BSCCh. 8.4 - Prob. 6BSCCh. 8.4 - Prob. 7BSCCh. 8.4 - Prob. 8BSCCh. 8.4 - Prob. 9BSCCh. 8.4 - Prob. 10BSCCh. 8.4 - Prob. 11BSCCh. 8.4 - Prob. 12BSCCh. 8.4 - Prob. 13BSCCh. 8.4 - Prob. 14BSCCh. 8.4 - Prob. 15BSCCh. 8.4 - Prob. 16BSCCh. 8.4 - Prob. 17BSCCh. 8.4 - Prob. 18BSCCh. 8.4 - Prob. 19BBCh. 8.4 - Prob. 20BBCh. 8 - Prob. 1CQQCh. 8 - Prob. 2CQQCh. 8 - Prob. 3CQQCh. 8 - Prob. 4CQQCh. 8 - Prob. 5CQQCh. 8 - Prob. 6CQQCh. 8 - Prob. 7CQQCh. 8 - Prob. 8CQQCh. 8 - Prob. 9CQQCh. 8 - Prob. 10CQQCh. 8 - Prob. 1CRECh. 8 - Prob. 2CRECh. 8 - Prob. 3CRECh. 8 - Red Blood Cell Count A simple random sample of 40...Ch. 8 - Prob. 5CRECh. 8 - Prob. 6CRECh. 8 - BMI for Miss America Use the same BMI indexes...Ch. 8 - Lightning Deaths Based on the results given in...Ch. 8 - Prob. 1.1CRECh. 8 - Prob. 1.2CRECh. 8 - Prob. 1.3CRECh. 8 - Prob. 1.4CRECh. 8 - Prob. 1.5CRECh. 8 - Prob. 1.6CRECh. 8 - Prob. 1.7CRECh. 8 - Prob. 1.8CRECh. 8 - Prob. 1EPCh. 8 - Prob. 1FDD
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