DIFFERENTIAL EQUATIONS-NEXTGEN WILEYPLUS
DIFFERENTIAL EQUATIONS-NEXTGEN WILEYPLUS
3rd Edition
ISBN: 9781119764564
Author: BRANNAN
Publisher: WILEY
bartleby

Concept explainers

bartleby

Videos

Textbook Question
Book Icon
Chapter 8.P2, Problem 3P

Use the differential equation (4) to generate an ensemble of stock prices S N ( k ) = S ( k ) ( N Δ t ) , k = 1 , , M (where T = N Δ t ) and then use formula (6) to compare a Monte Carlo estimate of the value of a five-month call option ( T = 5 12 years ) for the following parameter values: r = 0.06 , σ = 0.2 , and K = $ 50 . Find estimates corresponding to current stock prices of S ( 0 ) = s = $ 45 , $ 50 , and $ 55 . Use N = 200 time steps for each trajectory and M 10 , 000 sample trajectories for each Monte Carlo estimate. Check the accuracy of your results by comparing the Monte Carlo approximation with the value computed from the exact Black-Scholes formula

C ( s ) = s 2 erfc ( d 1 2 ) K 2 e r T erfc ( d 2 2 ) , (ii)

where

d 1 = 1 σ T [ ln ( s k ) + ( r + σ 2 2 ) T ] , d 2 = d 1 σ T

And erfc ( x ) is the complementary error function,

erfc ( x ) = 2 π x e t 2 d t .

The difference equation (4) is given below:

S n + 1 ( k ) = S n ( k ) + r S n ( k ) Δ t + σ S n ( k ) n + 1 k Δ t , S 0 k = s

Blurred answer
Students have asked these similar questions
Q5*) Write down an immediate first integral for the Euler-Lagrange equation for the integral I = = F(x, y, y″) dx. Hence write down a first integral of the Euler-Lagrange equation for the integral I 1 = √(xy ² + x³y²) dx. Find the general solution of this ordinary differential equation, seeking first the complementary function and then the particular integral. (Hint: the ODE is of homogeneous degree. And, for the particular integral, try functions proportional to log x.)
You are provided with three 2D data points, p1, p2 and p3. Solving A C = B for C provides youwith the coefficients of a natural cubic spline curve that interpolates these points.Additionally, you have been given A and B, but some elements are missing. Moreover, the last two rowsof A are entirely absent. Your task is to determine and fill in the missing elements. For the last two rows,enforce a zero tangent at the beginning (in p1) and a not-a-knot boundary condition in p2. The matricesA and B are given as follows:Explain how to find the entries of A and B . How would you adapt these matrices if the data pointswere 3D? What if your spline should go through five data points? How many “extra rows” would there thenbe (with “extra” meaning “in addition to securing C2-continuity”)?
Q2*) In question P3 we showed that a minimal surface of revolution is given by revolution (about the x-axis) of the catenary, with equation y = C cosh ((x – B)/C). - (a) Suppose, without loss of generality, that the catenary passes through the initial point P = (x1,y1) = (0, 1). First deduce an expression for the one-parameter family of catenaries passing through point P. Next calculate the value of x at which y takes its minimum value. By using the inequality cosh > √2 (you might like to think about how to prove this), show that there are points Q for which it is impossible to find a catenary passing through both P and Q. In particular, show that it is impossible to find a catenary joining the points (0, 1) and (2, 1). (b) A minimal surface of revolution can be realised experimentally by soap films attached to circular wire frames (see this link and this link for examples). The physical reason for this is that the surface tension, which is proportional to the area, is being minimised.…

Chapter 8 Solutions

DIFFERENTIAL EQUATIONS-NEXTGEN WILEYPLUS

Ch. 8.1 - In each of Problems 11 through 14 , use Eular’s...Ch. 8.1 - In each of Problems 11 through 14 , use Eular’s...Ch. 8.1 - In each of Problems 11 through 14 , use Eular’s...Ch. 8.1 - In each of Problems 11 through 14 , use Eular’s...Ch. 8.1 - Consider the initial value problem...Ch. 8.1 - Consider the initial value problem Use Euler’s...Ch. 8.1 - Consider the initial value problem...Ch. 8.1 - Consider the initial value problem Where is a...Ch. 8.1 - Consider the initial value problem y=y2t2,y(0)=,...Ch. 8.2 - In each of Problem 1 through 6, find approximate...Ch. 8.2 - In each of Problem 1 through 6, find approximate...Ch. 8.2 - In each of Problem 1 through 6, find approximate...Ch. 8.2 - In each of Problem 1 through 6, find approximate...Ch. 8.2 - In each of Problem 1 through 6, find approximate...Ch. 8.2 - In each of Problem 1 through 6, find approximate...Ch. 8.2 - In each of Problem 7 through 12, find approximate...Ch. 8.2 - In each of Problem 7 through 12, find approximate...Ch. 8.2 - In each of Problem 7 through 12, find approximate...Ch. 8.2 - In each of Problem 7 through 12, find approximate...Ch. 8.2 - In each of Problem 7 through 12, find approximate...Ch. 8.2 - In each of Problem 7 through 12, find approximate...Ch. 8.2 - Complete the calculations leading to the entries...Ch. 8.2 - Using three terms in the Taylor series given in...Ch. 8.2 - In each of Problems 15 and 16, estimate the local...Ch. 8.2 - In each of Problems 15 and 16, estimate the local...Ch. 8.2 - In each of Problems 17 and 20, obtain a formula...Ch. 8.2 - In each of Problems 17 and 20, obtain a formula...Ch. 8.2 - In each of Problems 17 and 20, obtain a formula...Ch. 8.2 - In each of Problems 17 and 20, obtain a formula...Ch. 8.2 - Consider the initial value problem y=cos5t,y(0)=1....Ch. 8.2 - Using a step size h=0.05 and the Euler method,...Ch. 8.2 - The following problem illustrates a danger that...Ch. 8.2 - The distributive law a(bc)=abac does not hold, in...Ch. 8.2 - In this section we stated that the global...Ch. 8.3 - In each of Problem 1 through 6, find approximate...Ch. 8.3 - In each of Problem 1 through 6, find approximate...Ch. 8.3 - In each of Problem 1 through 6, find approximate...Ch. 8.3 - In each of Problem 1 through 6, find approximate...Ch. 8.3 - In each of Problem 1 through 6, find approximate...Ch. 8.3 - In each of Problem 1 through 6, find approximate...Ch. 8.3 - In each of Problem 7 through 12, find approximate...Ch. 8.3 - In each of Problem 7 through 12, find approximate...Ch. 8.3 - In each of Problem 7 through 12, find approximate...Ch. 8.3 - In each of Problem 7 through 12, find approximate...Ch. 8.3 - In each of Problem 7 through 12, find approximate...Ch. 8.3 - In each of Problem 7 through 12, find approximate...Ch. 8.3 - Complete the calculation leading to the entries in...Ch. 8.3 - Confirm the results in Table 8.3.2 by executing...Ch. 8.3 - Consider the initial value problem y=t2+y2,y(0)=1....Ch. 8.3 - Consider the initial value problem Draw a...Ch. 8.3 - In this problem, we establish that the local...Ch. 8.3 - Consider the improved Euler method for solving the...Ch. 8.3 - In each of Problems 19 and 20, use the actual...Ch. 8.3 - In each of Problems 19 and 20, use the actual...Ch. 8.3 - In each of Problems 21 through 24, carry out one...Ch. 8.3 - In each of Problems 21 through 24, carry out one...Ch. 8.3 - In each of Problems 21 through 24, carry out one...Ch. 8.3 - In each of Problems 21 through 24, carry out one...Ch. 8.4 - In each of Problems 1 through 6, determine...Ch. 8.4 - In each of Problems 1 through 6, determine...Ch. 8.4 - In each of Problems 1 through 6, determine...Ch. 8.4 - In each of Problems 1 through 6, determine...Ch. 8.4 - In each of Problems 1 through 6, determine...Ch. 8.4 - In each of Problems 1 through 6, determine...Ch. 8.4 - Consider the example problemwith the initial...Ch. 8.4 - Consider the initial value problem...Ch. 8.P1 - Assume that the shape of the dispensers are...Ch. 8.P1 - After viewing the results of her computer...Ch. 8.P2 - Show that Euler’s method applied to the...Ch. 8.P2 - Simulate five sample trajectories of Eq. (1) for...Ch. 8.P2 - Use the differential equation (4) to generate an...Ch. 8.P2 - Variance Reduction by Antithetic Variates. A...
Knowledge Booster
Background pattern image
Math
Learn more about
Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, subject and related others by exploring similar questions and additional content below.
Similar questions
SEE MORE QUESTIONS
Recommended textbooks for you
Text book image
Algebra & Trigonometry with Analytic Geometry
Algebra
ISBN:9781133382119
Author:Swokowski
Publisher:Cengage
Text book image
College Algebra
Algebra
ISBN:9781938168383
Author:Jay Abramson
Publisher:OpenStax
Text book image
Linear Algebra: A Modern Introduction
Algebra
ISBN:9781285463247
Author:David Poole
Publisher:Cengage Learning
01 - What Is A Differential Equation in Calculus? Learn to Solve Ordinary Differential Equations.; Author: Math and Science;https://www.youtube.com/watch?v=K80YEHQpx9g;License: Standard YouTube License, CC-BY
Higher Order Differential Equation with constant coefficient (GATE) (Part 1) l GATE 2018; Author: GATE Lectures by Dishank;https://www.youtube.com/watch?v=ODxP7BbqAjA;License: Standard YouTube License, CC-BY
Solution of Differential Equations and Initial Value Problems; Author: Jefril Amboy;https://www.youtube.com/watch?v=Q68sk7XS-dc;License: Standard YouTube License, CC-BY