MYLAB MATH FOR EXCURSIONS IN MATHEMATIC
9th Edition
ISBN: 9780136415893
Author: Tannenbaum
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Chapter 9, Problem 57E
To determine
(a)
To Find:
The value of
To determine
(b)
To conclude:
The prediction of the logistic growth model if the long term for the given population.
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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 9 Solutions
MYLAB MATH FOR EXCURSIONS IN MATHEMATIC
Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence defined by the explicit...Ch. 9 - Consider the sequence 1,4,9,16,25,.... a. List the...
Ch. 9 - Consider the sequence 1,2,6,24,120,.... a. List...Ch. 9 - Consider the sequence 0,1,3,6,10,15,21.... a. List...Ch. 9 - Prob. 14ECh. 9 - Consider the sequence 1,85,2,167,208,.... a. List...Ch. 9 - Prob. 16ECh. 9 - Airlines would like to board passengers in the...Ch. 9 - When two fair coins are tossed the probability of...Ch. 9 - Consider a population that grows linearly...Ch. 9 - Consider a population that grows linearly...Ch. 9 - Consider a population that grows linearly...Ch. 9 - Consider a population that grows linearly...Ch. 9 - Consider a population that grows linearly, with...Ch. 9 - Consider a population that grows linearly, with...Ch. 9 - Official unemployment rates for the U.S....Ch. 9 - The world population reached 6 billion people in...Ch. 9 - The Social Security Administration uses a linear...Ch. 9 - While the number of smokers for the general adult...Ch. 9 - Use the arithmetic sum formula to find the sum...Ch. 9 - Prob. 30ECh. 9 - An arithmetic sequence has first term P0=12 and...Ch. 9 - An arithmetic sequence has first term P0=1 and...Ch. 9 - Find the sum a. 1+3+5+7++149.Hint: See Example...Ch. 9 - Find the sum a. 2+4+6++98. b. 2+4+6+75terms.Ch. 9 - The city of Lightsville currently has 137...Ch. 9 - Prob. 36ECh. 9 - A population grows according to an exponential...Ch. 9 - A population grows according to an exponential...Ch. 9 - A population grows according to the recursive rule...Ch. 9 - Prob. 40ECh. 9 - Crime in Happyville is on the rise. Each year the...Ch. 9 - Prob. 42ECh. 9 - Prob. 43ECh. 9 - Avian influenza A H5N1 is a particularly virulent...Ch. 9 - In 2010 the undergraduate enrollment at Bright...Ch. 9 - In 2009 there were 73 cases of avian influenza A...Ch. 9 - Consider the geometric sequence P0=2, P1=6, P2=18,...Ch. 9 - Consider the geometric sequence P0=4, P1=6, P2=9,...Ch. 9 - Consider the geometric sequence P0=4, P1=2, P2=1,....Ch. 9 - Consider the geometric sequence P0=10, P1=2,...Ch. 9 - Find the sum a. 1+2+22+23++215. b. 1+2+22+23++2N1...Ch. 9 - Find the sum a. 1+3+32+33++310. b. 1+3+32+33++3N1....Ch. 9 - A population grows according to the logistic...Ch. 9 - A population grows according to the logistic...Ch. 9 - For the population discussed in Exercise 53...Ch. 9 - Prob. 56ECh. 9 - Prob. 57ECh. 9 - Prob. 58ECh. 9 - Prob. 59ECh. 9 - Prob. 60ECh. 9 - A population grows according to the logistic...Ch. 9 - A population grows according to the logistic...Ch. 9 - Each of the following sequences follows a linear,...Ch. 9 - Each of the line graph shown in Figs. 9-19 through...Ch. 9 - Prob. 65ECh. 9 - Prob. 66ECh. 9 - Prob. 67ECh. 9 - Prob. 68ECh. 9 - Prob. 69ECh. 9 - Prob. 70ECh. 9 - Prob. 71ECh. 9 - Prob. 72ECh. 9 - Prob. 73ECh. 9 - Prob. 74ECh. 9 - Prob. 75ECh. 9 - Show that if P0,P1,P2,... is an arithmetic...
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