USING + UNDERSTANDING MATH CUSTOM
6th Edition
ISBN: 9780137721023
Author: Bennett
Publisher: PEARSON C
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Chapter 8.A, Problem 32E
To determine
Two examples of Linear growth or decay.
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Students have asked these similar questions
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?
The Course Name Real Analysis please Solve questions by Real Analysis
Chapter 8 Solutions
USING + UNDERSTANDING MATH CUSTOM
Ch. 8.A - Prob. 1QQCh. 8.A - Prob. 2QQCh. 8.A - The balance owed your credit card doubles from...Ch. 8.A - The number Of songs in your iPod has increased...Ch. 8.A - Which of the following is in example of...Ch. 8.A - On a chessboard with 64 squares, you place 1 penny...Ch. 8.A - At 11:00 you place a single bacterium in a bottle,...Ch. 8.A - Consider the bacterial population described in...Ch. 8.A - Consider the bacterial population described in...Ch. 8.A - Which of the following is not true of any...
Ch. 8.A - Describe basic differences between linear growth...Ch. 8.A - 2. Briefly explain how repeated doublings...Ch. 8.A - Briefly summarize the Story Of the bacteria in the...Ch. 8.A - Explain the meaning Of the two key facts about...Ch. 8.A - Prob. 5ECh. 8.A - Suppose you had a magic hank account in which your...Ch. 8.A - A small town that grows exponentially can become a...Ch. 8.A - H. Human population has been growing exponentially...Ch. 8.A - Prob. 9ECh. 8.A - Prob. 10ECh. 8.A - Prob. 11ECh. 8.A - Prob. 12ECh. 8.A - Prob. 13ECh. 8.A - Prob. 14ECh. 8.A - Linear or Exponential? State whether the growth...Ch. 8.A - Prob. 16ECh. 8.A - Chessboard Parable. Use the chessboard parable...Ch. 8.A - Chessboard Parable. Use the chessboard parable...Ch. 8.A - Chessboard Parable. Use the chessboard parable...Ch. 8.A - Prob. 20ECh. 8.A - Magic Penny Parable. Use the magic penny parable...Ch. 8.A - Prob. 22ECh. 8.A - Magic Penny Parable. Use the magic penny parable...Ch. 8.A - Magic Penny Parable. Use the magic penny parable...Ch. 8.A - Bacteria in a Bottle Parable. Use the bacteria...Ch. 8.A - Bacteria in a Bottle Parable. Use the bacteria...Ch. 8.A - Bacteria in a Bottle Parable. Use the bacteria...Ch. 8.A - Bacteria in a Bottle Parable. Use the bacteria...Ch. 8.A - 29. Human Doubling. Human population in the year...Ch. 8.A - Doubling Time versus Initial Amount. a. Would you...Ch. 8.A - Facebook Users. The table shows the number of...Ch. 8.A - Prob. 32ECh. 8.A - Exponential Growth. Identify at least two news...Ch. 8.A - Prob. 34ECh. 8.A - Prob. 35ECh. 8.B - Prob. 1QQCh. 8.B - Prob. 2QQCh. 8.B - Which of the following is not a good approximation...Ch. 8.B - Prob. 4QQCh. 8.B - Radioactive tritium (hvdrogen-3) has a halt-life...Ch. 8.B - Radioactive uramum-235 has a hall-life of about...Ch. 8.B - Prob. 7QQCh. 8.B - log10108= a.100,000,000 b. 108 c.8Ch. 8.B - A rural popular ion decreases at a rate of 20% per...Ch. 8.B - Prob. 10QQCh. 8.B - What is a doubling tune? Suppose a population has...Ch. 8.B - Prob. 2ECh. 8.B - State the approximate doubting time formula and...Ch. 8.B - Prob. 4ECh. 8.B - Prob. 5ECh. 8.B - 6. State the approximate hall-life formula and the...Ch. 8.B - 7. Briefly describe exact doubling time and...Ch. 8.B - 8. Give an example in which it is important to use...Ch. 8.B - Our town is growing with a doubling time of 25...Ch. 8.B - Our town is growing at a rate of 7% per year, so...Ch. 8.B - A toxic chemical decays with a hall-life of 10...Ch. 8.B - The hall-life of plutomum-239 is about 24,000...Ch. 8.B - Logarithms. Refer to the Brief Review on p. 488....Ch. 8.B - Logarithms. Refer to the Brief Review on p. 488....Ch. 8.B - Prob. 15ECh. 8.B - Prob. 16ECh. 8.B - 13-24: Logarithms. Refer to the Brief Review on p....Ch. 8.B - Prob. 18ECh. 8.B - Logarithms. Refer to the Brief Review on p. 488....Ch. 8.B - Logarithms. Refer to the Brief Review on p. 488....Ch. 8.B - 13-24: Logarithms. Refer to the Brief Review on p....Ch. 8.B - Prob. 22ECh. 8.B - Prob. 23ECh. 8.B - Logarithms. Refer to the Brief Review on p. 488....Ch. 8.B - Prob. 25ECh. 8.B - Prob. 26ECh. 8.B - Prob. 27ECh. 8.B - Prob. 28ECh. 8.B - Prob. 29ECh. 8.B - Prob. 30ECh. 8.B - Prob. 31ECh. 8.B - Prob. 32ECh. 8.B - Prob. 33ECh. 8.B - Prob. 34ECh. 8.B - 31. Rabbits. A community of rabbits begins with an...Ch. 8.B - Prob. 36ECh. 8.B - Doubling Time Formula. Use the approximate...Ch. 8.B - Prob. 38ECh. 8.B - Prob. 39ECh. 8.B - Prob. 40ECh. 8.B - Prob. 41ECh. 8.B - Prob. 42ECh. 8.B - Prob. 43ECh. 8.B - 41 -48: Half-Life. Each exercise gives a half-life...Ch. 8.B - Prob. 45ECh. 8.B - 41 -48: Half-Life. Each exercise gives a half-life...Ch. 8.B - Prob. 47ECh. 8.B - 41 -48: Half-Life. Each exercise gives a half-life...Ch. 8.B - Prob. 49ECh. 8.B - 49-52: Half-Life Formula. Use the approximate...Ch. 8.B - Prob. 51ECh. 8.B - 49-52: Half-Life Formula. Use the approximate...Ch. 8.B - Prob. 53ECh. 8.B - Exact Formulas. Compare the doubling times found...Ch. 8.B - Prob. 55ECh. 8.B - Exact Formulas. Compare the doubling times found...Ch. 8.B - Prob. 57ECh. 8.B - 58. Nuclear Weapons. Thermonuclear weapons use...Ch. 8.B - Fossil Fuel Emissions. Total emissions of carbon...Ch. 8.B - Yucca Mountain. The U.S. government spent nearly...Ch. 8.B - Crime Rate. The homicide rate decreases at a rate...Ch. 8.B - 62. Drug Metabolism. A particular antibiotic is...Ch. 8.B - Atmospheric Pressure. The pressure of Earth's...Ch. 8.B - Prob. 64ECh. 8.B - 65. Radioactive Half-Life. Find a news story that...Ch. 8.B - Prob. 66ECh. 8.B - Prob. 67ECh. 8.B - Prob. 68ECh. 8.B - Prob. 69ECh. 8.C - Prob. 1QQCh. 8.C - Prob. 2QQCh. 8.C - The primary reason for the rapid growth of human...Ch. 8.C - The carrying capacity of the Earth is defined as...Ch. 8.C - Which of the billowing would cause estimates of...Ch. 8.C - 6. Recall the bacteria in a bottle example from...Ch. 8.C - When researchers project that human population...Ch. 8.C - Prob. 8QQCh. 8.C - Prob. 9QQCh. 8.C - Prob. 10QQCh. 8.C - Based on Figure 8.3, contrast the changes in human...Ch. 8.C - Prob. 2ECh. 8.C - Haw do today’s birth and death rates compare to...Ch. 8.C - Prob. 4ECh. 8.C - Prob. 5ECh. 8.C - What is overshot and collapse? Under what...Ch. 8.C - Prob. 7ECh. 8.C - 8. If birth rates fall more than death rates, the...Ch. 8.C - The carrying capacity of our planet depends only...Ch. 8.C - to rapid increases in computing technology, we...Ch. 8.C - In the wild, we always expect the population of...Ch. 8.C - Prob. 12ECh. 8.C - Prob. 13ECh. 8.C - Varying Growth Rates. Starting from a 2013...Ch. 8.C - Prob. 15ECh. 8.C - 13-16: Varying Growth Rates. Starting from a 2013...Ch. 8.C - Birth and Death Rates. The following table gives...Ch. 8.C - Prob. 18ECh. 8.C - Prob. 19ECh. 8.C - Prob. 20ECh. 8.C - 21. Logistic Growth. Consider a population that...Ch. 8.C - Logistic Growth. Consider a population that begins...Ch. 8.C - Prob. 23ECh. 8.C - Prob. 24ECh. 8.C - Prob. 25ECh. 8.C - Prob. 26ECh. 8.C - Prob. 27ECh. 8.C - Prob. 28ECh. 8.C - Prob. 29ECh. 8.C - Prob. 30ECh. 8.C - Prob. 31ECh. 8.C - Prob. 32ECh. 8.C - Prob. 33ECh. 8.C - Prob. 34.0ECh. 8.C - Prob. 34.1ECh. 8.C - Population Predictions. Find population...Ch. 8.C - Prob. 36ECh. 8.C - Prob. 37ECh. 8.C - Prob. 38ECh. 8.C - Prob. 39ECh. 8.D - The energy release of a magnitude 7 earthquake is...Ch. 8.D - Prob. 2QQCh. 8.D - 3. What is a 0-decibel sound?
the softest sound...Ch. 8.D - Prob. 4QQCh. 8.D - Prob. 5QQCh. 8.D - Prob. 6QQCh. 8.D - Prob. 7QQCh. 8.D - Prob. 8QQCh. 8.D - Prob. 9QQCh. 8.D - Prob. 10QQCh. 8.D - What is the magnitude scale for earthquakes? What...Ch. 8.D - What is the decibel scale? Describe how it is...Ch. 8.D - What is pH? What pH values define an acid, a base,...Ch. 8.D - What is acid rain? Why is it a serious...Ch. 8.D - 5. An earthquake of magnitude 8 will do twice as...Ch. 8.D - A 120-dB wand is 20% louder than a 100-dB sound.Ch. 8.D - If I double the amount of water in the cup, I'll...Ch. 8.D - The lake water was crystal clear, so It could not...Ch. 8.D - Earthquake Magnitudes. Use the earthquake...Ch. 8.D - Prob. 10ECh. 8.D - Prob. 11ECh. 8.D - Earthquake Magnitudes. Use the earthquake...Ch. 8.D - Earthquake Magnitudes. Use the earthquake...Ch. 8.D - 9-14: Earthquake Magnitudes. Use the earthquake...Ch. 8.D - The Decibel Scale. Use the decibel scale to answer...Ch. 8.D - The Decibel Scale. Use the decibel scale to answer...Ch. 8.D - The Decibel Scale. Use the decibel scale to answer...Ch. 8.D - The Decibel Scale. Use the decibel scale to answer...Ch. 8.D - The Decibel Scale. Use the decibel scale to answer...Ch. 8.D - Prob. 20ECh. 8.D - Inverse Square Law. Use the inverse square law for...Ch. 8.D - Prob. 22ECh. 8.D - Inverse Square Law. Use the inverse square law for...Ch. 8.D - Inverse Square Law. Use the inverse square law for...Ch. 8.D - The pH scale. Use the pH scale to answer the...Ch. 8.D - The pH Scale. Use the pH scale to answer the...Ch. 8.D - Prob. 27ECh. 8.D - Prob. 28ECh. 8.D - Prob. 29ECh. 8.D - Prob. 30ECh. 8.D - The pH Scale. Use the pH scale to answer the...Ch. 8.D - 25-32: The pH Scale. Use the pH scale to answer...Ch. 8.D - Logarithmic Thinking. Briefly describe, in words,...Ch. 8.D - 33-38: Logarithmic Thinking. Briefly describe, in...Ch. 8.D - Logarithmic Thinking. Briefly describe, in words,...Ch. 8.D - Logarithmic Thinking. Briefly describe, in words,...Ch. 8.D - Prob. 37ECh. 8.D - Prob. 38ECh. 8.D - 39. Sound and Distance.
The decibel level for...Ch. 8.D - 40. Variation in Sound with Distance. Suppose that...Ch. 8.D - Toxic Dumping in Acidified Lakes. Consider a...Ch. 8.D - Earthquakes in the News. Find a recent news story...Ch. 8.D - Prob. 43ECh. 8.D - Disasters. Find the death lolls for some of the...Ch. 8.D - Prob. 45E
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