Introduction to Statistics and Data Analysis
5th Edition
ISBN: 9781305115347
Author: Roxy Peck; Chris Olsen; Jay L. Devore
Publisher: Brooks Cole
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Chapter 9.2, Problem 26E
a.
To determine
Find and interpret the 90% confidence interval for the proportion of adults from Country A who think lying is never justified.
b.
To determine
Find and interpret the 90% confidence interval for the proportion of adults from Country A who think that it often or sometimes okay to lie to avoid hurting someone’s feelings.
c.
To determine
Explain the apparent inconsistency in the response.
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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 9 Solutions
Introduction to Statistics and Data Analysis
Ch. 9.1 - Three different statistics are being considered...Ch. 9.1 - a. Why is an unbiased statistic generally...Ch. 9.1 - Prob. 3ECh. 9.1 - Prob. 4ECh. 9.1 - Each person in a random sample of 20 students at a...Ch. 9.1 - Suppose that each of 935 smokers received a...Ch. 9.1 - Given below are the sodium contents (in mg) for...Ch. 9.1 - A random sample of n = 12 four-year-old red pine...Ch. 9.1 - A random sample of 10 houses heated with natural...Ch. 9.2 - Prob. 10E
Ch. 9.2 - The formula used to calculate a large-sample...Ch. 9.2 - Prob. 12ECh. 9.2 - Discuss how each of the following factors affects...Ch. 9.2 - Prob. 14ECh. 9.2 - Based on data from a survey of 1200 randomly...Ch. 9.2 - Prob. 16ECh. 9.2 - If a hurricane was headed your way, would you...Ch. 9.2 - Prob. 18ECh. 9.2 - Prob. 19ECh. 9.2 - Prob. 20ECh. 9.2 - Prob. 21ECh. 9.2 - Prob. 22ECh. 9.2 - Prob. 23ECh. 9.2 - Prob. 24ECh. 9.2 - Prob. 25ECh. 9.2 - Prob. 26ECh. 9.2 - Prob. 27ECh. 9.2 - The Gallup Organization conducts an annual survey...Ch. 9.2 - The article Hospitals Dispute Medtronic Data on...Ch. 9.2 - Prob. 30ECh. 9.2 - A discussion of digital ethics appears in the...Ch. 9.2 - In spite of the potential safety hazards, some...Ch. 9.2 - Prob. 33ECh. 9.3 - Given a variable that has at distribution with the...Ch. 9.3 - The formula used to calculate a confidence...Ch. 9.3 - USA TODAY reported that the average amount of...Ch. 9.3 - Samples of two different models of cars were...Ch. 9.3 - Prob. 38ECh. 9.3 - In a study of academic procrastination, the...Ch. 9.3 - Medical research has shown that repeated wrist...Ch. 9.3 - Prob. 41ECh. 9.3 - Prob. 42ECh. 9.3 - Suppose that a random sample of 50 bottles of a...Ch. 9.3 - Prob. 44ECh. 9.3 - The article The Association Between Television...Ch. 9.3 - Prob. 46ECh. 9.3 - Because of safety considerations, in May 2003 the...Ch. 9.3 - Example 9.3 gave the following airborne times (in...Ch. 9.3 - Prob. 49ECh. 9.3 - Five students visiting the student health center...Ch. 9.3 - The Bureau of Alcohol, Tobacco, and Firearms...Ch. 9.3 - The formula described in this section for...Ch. 9.4 - The following quote is from the article Credit...Ch. 9.4 - Authors of the news release titled Major Gaps...Ch. 9.4 - The paper The Curious Promiscuity of Queen Honey...Ch. 9 - Prob. 56CRCh. 9 - Prob. 57CRCh. 9 - Prob. 58CRCh. 9 - Prob. 59CRCh. 9 - Prob. 60CRCh. 9 - Prob. 61CRCh. 9 - A manufacturer of small appliances purchases...Ch. 9 - Prob. 63CRCh. 9 - A manufacturer of college textbooks is interested...Ch. 9 - Prob. 65CRCh. 9 - The confidence intervals presented in this chapter...Ch. 9 - Prob. 67CRCh. 9 - The interval from 2.33 to 1.75 captures an area of...Ch. 9 - Prob. 69CR
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