Statistics for Engineers and Scientists
Statistics for Engineers and Scientists
4th Edition
ISBN: 9780073401331
Author: William Navidi Prof.
Publisher: McGraw-Hill Education
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Chapter 9.3, Problem 17E

a.

To determine

Construct an ANOVA table and the find the ranges for the P-values.

b.

To determine

Check whether there is a difference in the measured weights among the operators using the ANOVA table. Find the value of test statistics and P-value if so and explain the reason if not.

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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?
We consider a 4-dimensional stock price model given (under P) by dẴ₁ = µ· Xt dt + йt · ΣdŴt where (W) is an n-dimensional Brownian motion, π = (0.02, 0.01, -0.02, 0.05), 0.2 0 0 0 0.3 0.4 0 0 Σ= -0.1 -4a За 0 0.2 0.4 -0.1 0.2) and a E R. We assume that ☑0 = (1, 1, 1, 1) and that the interest rate on the market is r = 0.02. (a) Give a condition on a that would make stock #3 be the one with largest volatility. (b) Find the diversification coefficient for this portfolio as a function of a. (c) Determine the maximum diversification coefficient d that you could reach by varying the value of a? 2

Chapter 9 Solutions

Statistics for Engineers and Scientists

Ch. 9.1 - Prob. 11ECh. 9.1 - Prob. 12ECh. 9.1 - Prob. 13ECh. 9.1 - Prob. 14ECh. 9.1 - Refer to Exercise 12. a. Compute the quantity...Ch. 9.1 - Prob. 16ECh. 9.1 - Prob. 17ECh. 9.1 - Prob. 18ECh. 9.1 - Prob. 19ECh. 9.1 - The following MINITAB output presents a power...Ch. 9.2 - Exercises for Section 9.2 1.The article Organic...Ch. 9.2 - The article Optimum Design of an A-pillar Trim...Ch. 9.2 - Prob. 3ECh. 9.2 - Refer to Exercise 2 in Section 9.1. a.Use the...Ch. 9.2 - Refer to Exercise 13 in Section 9.1. a. Use the...Ch. 9.2 - Refer to Exercise 1 in Section 9.1. A scientist...Ch. 9.2 - Refer to Exercise 13 in Section 9.1. A...Ch. 9.2 - Refer to Exercise 3 in Section 9.1. a. Use the...Ch. 9.2 - Refer to Exercise 5 in Section 9.1. a. Use the...Ch. 9.2 - Refer to Exercise 9 in Section 9.1. a. Use the...Ch. 9.2 - Refer to Exercise 16 in Section 9.1. a. Use the...Ch. 9.2 - Refer to Exercise 18 in Section 9.1. a. Use the...Ch. 9.2 - In an experiment to determine the effect of...Ch. 9.2 - In an experiment to determine the effect of curing...Ch. 9.2 - Prob. 15ECh. 9.2 - For some data sets, the F statistic will reject...Ch. 9.3 - To assess the effect of piston ring type and oil...Ch. 9.3 - A machine shop has three machines used in...Ch. 9.3 - An experiment to determine the effect of mold...Ch. 9.3 - The effect of curing pressure on bond strength was...Ch. 9.3 - The article Change in Creep Behavior of Plexiform...Ch. 9.3 - Prob. 6ECh. 9.3 - Prob. 7ECh. 9.3 - Adding glass panicles to clay brick may improve...Ch. 9.3 - The article Application of Radial Basis Function...Ch. 9.3 - Prob. 10ECh. 9.3 - Prob. 11ECh. 9.3 - The article Anodic Fenton Treatment of Treflan MTF...Ch. 9.3 - Refer to Exercise 12. The treatments with a...Ch. 9.3 - The article Use of Taguchi Methods and Multiple...Ch. 9.3 - The article T-Bracing for Stability of Compression...Ch. 9.3 - The article referred to in Exercise 15 also...Ch. 9.3 - Prob. 17ECh. 9.3 - Prob. 18ECh. 9.3 - The article Cellulose Acetate Microspheres...Ch. 9.4 - Recycling newsprint is important in reducing...Ch. 9.4 - A study was done to see which of four machines is...Ch. 9.4 - Prob. 3ECh. 9.4 - Three different corrosion-resistant coatings are...Ch. 9.4 - The article Genotype-Environment Interactions and...Ch. 9.4 - The article Sprinkler Technologies, Soil...Ch. 9.4 - The article Bromate Surveys in French Drinking...Ch. 9.4 - The article Multi-objective Scheduling Problems:...Ch. 9.4 - You have been given the task of designing a study...Ch. 9.4 - An engineering professor wants to determine which...Ch. 9.5 - Prob. 1ECh. 9.5 - Give an example of a factorial experiment in which...Ch. 9.5 - Prob. 3ECh. 9.5 - The article Efficient Pyruvate Production by a...Ch. 9.5 - The article cited in Exercise 4 also investigated...Ch. 9.5 - A metal casting process for the production of...Ch. 9.5 - The article An Investigation into the Ball...Ch. 9.5 - In a 2p design with one replicate per treatment,...Ch. 9.5 - Prob. 9ECh. 9.5 - Prob. 10ECh. 9.5 - The article Factorial Design for Column Rotation...Ch. 9.5 - Prob. 12ECh. 9.5 - Prob. 13ECh. 9 - The article Gypsum Effect on the Aggregate Size...Ch. 9 - Prob. 2SECh. 9 - Prob. 3SECh. 9 - Prob. 4SECh. 9 - Prob. 5SECh. 9 - Prob. 6SECh. 9 - Prob. 7SECh. 9 - The article Case Study Based Instruction of DOE...Ch. 9 - The article Combined Analysis of Real-Time...Ch. 9 - Vermont maple sugar producers sponsored a testing...Ch. 9 - Prob. 11SECh. 9 - Prob. 12SECh. 9 - Prob. 13SECh. 9 - The article Enthalpies and Entropies of Transfer...Ch. 9 - Prob. 15SECh. 9 - Prob. 16SECh. 9 - The article Factorial Experiments in the...Ch. 9 - The Williamsburg Bridge is a suspension bridge...Ch. 9 - Prob. 19SECh. 9 - In the article Nitrate Contamination of Alluvial...Ch. 9 - The article Factorial Experiments in the...Ch. 9 - Prob. 22SECh. 9 - Prob. 23SECh. 9 - Prob. 24SE
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