Discrete Mathematics with Graph Theory (Classic Version) (3rd Edition) (Pearson Modern Classics for Advanced Mathematics Series)
3rd Edition
ISBN: 9780134689555
Author: Edgar Goodaire, Michael Parmenter
Publisher: PEARSON
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Question
Chapter 9.2, Problem 26E
(a)
To determine
To graph: The graphs are there with vertex set V.
(b)
To determine
To graph: The graphs are there with vertex set V, contain the triangle 123.
(c)
To determine
To graph: The total number is of triangles in all the graphs with vertex set V.
(d)
To determine
To graph: The triangles doa graph on n labeled vertices contain.
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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.)
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?
Chapter 9 Solutions
Discrete Mathematics with Graph Theory (Classic Version) (3rd Edition) (Pearson Modern Classics for Advanced Mathematics Series)
Ch. 9.1 - (Answers can be found in the back of the book.)
1....Ch. 9.1 - (Answers can be found in the back of the book.)
2....Ch. 9.1 - (Answers can be found in the back of the book.)...Ch. 9.1 - (Answers can be found in the back of the book.)...Ch. 9.1 - (Answers can be found in the back of the book.)
5....Ch. 9.1 - Prob. 6TFQCh. 9.1 - Prob. 7TFQCh. 9.1 - Prob. 8TFQCh. 9.1 - Prob. 9TFQCh. 9.1 - Prob. 10TFQ
Ch. 9.1 - 1. [BB](Fictitious) A recently discovered map of...Ch. 9.1 - Prob. 2ECh. 9.1 - 3. One of the owners of the houses in the Three...Ch. 9.1 - Prob. 4ECh. 9.1 - Prob. 5ECh. 9.1 - Prob. 6ECh. 9.1 - You and a friend meet three other couples at a...Ch. 9.1 - 8. (a) A graph has six vertices, every two of...Ch. 9.1 - [BB] A graph has six vertices, every two of which...Ch. 9.1 - Prob. 10ECh. 9.1 - Prob. 11ECh. 9.2 - Prob. 1TFQCh. 9.2 - Prob. 2TFQCh. 9.2 - Prob. 3TFQCh. 9.2 - (Answers can be found in the back of the book.) is...Ch. 9.2 - Prob. 5TFQCh. 9.2 - Prob. 6TFQCh. 9.2 - Prob. 7TFQCh. 9.2 - Prob. 8TFQCh. 9.2 - Prob. 9TFQCh. 9.2 - Prob. 10TFQCh. 9.2 - Prob. 1ECh. 9.2 - Prob. 2ECh. 9.2 - Prob. 3ECh. 9.2 - Prob. 4ECh. 9.2 - Prob. 5ECh. 9.2 - Prob. 6ECh. 9.2 - Prob. 7ECh. 9.2 - Draw a graph with 64 vertices representing the...Ch. 9.2 - Consider again the graph accompanying Exercise 5...Ch. 9.2 - Prob. 10ECh. 9.2 - Prob. 11ECh. 9.2 - Prob. 12ECh. 9.2 - 13. [BB] At most social functions, there is a lot...Ch. 9.2 - Prob. 14ECh. 9.2 - 15. [BB;(a)] for each pair of graphs shown,...Ch. 9.2 - Prob. 16ECh. 9.2 - Prob. 17ECh. 9.2 - For each of the following sequences, determine if...Ch. 9.2 - Prob. 19ECh. 9.2 - [BB] A graph has five vertices of degree 4 and two...Ch. 9.2 - Determine whether each of the graphs in Fig 9.23...Ch. 9.2 - Prob. 22ECh. 9.2 - Prob. 23ECh. 9.2 - 24. [BB](requires calculus) Prove that the number...Ch. 9.2 - Prob. 25ECh. 9.2 - Prob. 26ECh. 9.2 - Prob. 27ECh. 9.2 - Prob. 28ECh. 9.2 - Prob. 29ECh. 9.2 - Prob. 30ECh. 9.2 - Prob. 31ECh. 9.2 - Prob. 32ECh. 9.2 - Prob. 33ECh. 9.2 - Prob. 34ECh. 9.2 - Prob. 35ECh. 9.3 - (Answers can be found in the back of the book.) It...Ch. 9.3 - Prob. 2TFQCh. 9.3 - Prob. 3TFQCh. 9.3 - Prob. 4TFQCh. 9.3 - Prob. 5TFQCh. 9.3 - (Answers can be found in the back of the book.)
6....Ch. 9.3 - (Answers can be found in the back of the book.) If...Ch. 9.3 - Prob. 8TFQCh. 9.3 - Prob. 9TFQCh. 9.3 - Prob. 10TFQCh. 9.3 - [BB] For each of the ten pairs of graphs that can...Ch. 9.3 - Prob. 2ECh. 9.3 - [BB] Draw all nonisomorphic graphs on n =3...Ch. 9.3 - [BB;(b)] for each pair of grpahs shown. If the...Ch. 9.3 - Prob. 5ECh. 9.3 - Prob. 6ECh. 9.3 - Prob. 7ECh. 9.3 - [BB] Prove that two graphs that are isomorphic...Ch. 9.3 - Consider the following three graphs. [BB] How many...Ch. 9.3 - Prob. 10ECh. 9.3 - Prob. 11ECh. 9 - 1. In the Konigsberg Bridge Problem, a tragic fire...Ch. 9 - 2. (a) Draw a configuration of four houses and two...Ch. 9 - 3. Find the solutions, where possible, for the...Ch. 9 - Draw a graph with six vertices at least three of...Ch. 9 - For each of the following sequences, determine if...Ch. 9 - 6. (a) Does there exist a graph with degree...Ch. 9 - Determine whether or not each of the following...Ch. 9 - Answer these questions for each sequence: Does...Ch. 9 - Find a necessary and sufficient condition for the...Ch. 9 - Prob. 10RECh. 9 - Suppose a graph has 49 vertices, each of degree 4...Ch. 9 - Prob. 12RECh. 9 - A graph G has 50 edges, four vertices of degree 2,...Ch. 9 - Prob. 14RECh. 9 - For each pair of graphs shown in fig 9.30 If the...Ch. 9 - Prob. 16RECh. 9 - 17. For each of the following cases, explain why...Ch. 9 - George is examining three graphs G1, G2, G3. He...Ch. 9 - Answer Exercise 18 again, assuming that Georges...Ch. 9 - Prob. 20RE
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