Elementary Statistics (13th Edition)
13th Edition
ISBN: 9780134462455
Author: Mario F. Triola
Publisher: PEARSON
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Chapter 9.3, Problem 18BSC
Larger Data Sets. In Exercises 17–24, use the indicated Data Sets in Appendix B. The complete data sets can be found at www.TriolaStats.com. Assume that the paired sample data are simple random samples and the differences have a distribution that is approximately normal.
18. Heights of Presidents Repeat Exercise 6 “Heights of Presidents” using all of the sample data from Data Set 15 “Presidents” in Appendix B.
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Problem 3. Pricing a multi-stock option the Margrabe formula
The purpose of this problem is to price a swap option in a 2-stock model, similarly as
what we did in the example in the lectures. We consider a two-dimensional Brownian
motion given by W₁ = (W(¹), W(2)) on a probability space (Q, F,P). Two stock prices
are modeled by the following equations:
dX
=
dY₁ =
X₁ (rdt+
rdt+0₁dW!)
(²)),
Y₁ (rdt+dW+0zdW!"),
with Xo
xo and Yo =yo. This corresponds to the multi-stock model studied in class,
but with notation (X+, Y₁) instead of (S(1), S(2)). Given the model above, the measure
P is already the risk-neutral measure (Both stocks have rate of return r). We write
σ = 0₁+0%. We consider a swap option, which gives you the right, at time T, to
exchange one share of X for one share of Y. That is, the option has payoff
F=(Yr-XT).
(a) We first assume that r = 0 (for questions (a)-(f)). Write an explicit expression for
the process Xt.
Reminder before proceeding to question (b): Girsanov's theorem…
Problem 1. Multi-stock model
We consider a 2-stock model similar to the one studied in class. Namely, we consider
=
S(1)
S(2)
=
S(¹) exp (σ1B(1) + (M1 - 0/1 )
S(²) exp (02B(2) + (H₂-
M2
where (B(¹) ) +20 and (B(2) ) +≥o are two Brownian motions, with
t≥0
Cov (B(¹), B(2)) = p min{t, s}.
"
The purpose of this problem is to prove that there indeed exists a 2-dimensional Brownian
motion (W+)+20 (W(1), W(2))+20 such that
=
S(1)
S(2)
=
=
S(¹) exp (011W(¹) + (μ₁ - 01/1) t)
롱)
S(²) exp (021W (1) + 022W(2) + (112 - 03/01/12) t).
where σ11, 21, 22 are constants to be determined (as functions of σ1, σ2, p).
Hint: The constants will follow the formulas developed in the lectures.
(a) To show existence of (Ŵ+), first write the expression for both W. (¹) and W (2)
functions of (B(1), B(²)).
as
(b) Using the formulas obtained in (a), show that the process (WA) is actually a 2-
dimensional standard Brownian motion (i.e. show that each component is normal,
with mean 0, variance t, and that their…
The scores of 8 students on the midterm exam and final exam were as follows.
Student
Midterm
Final
Anderson
98
89
Bailey
88
74
Cruz
87
97
DeSana
85
79
Erickson
85
94
Francis
83
71
Gray
74
98
Harris
70
91
Find the value of the (Spearman's) rank correlation coefficient test statistic that would be used to test the claim of no correlation between midterm score and final exam score. Round your answer to 3 places after the decimal point, if necessary.
Test statistic: rs =
Chapter 9 Solutions
Elementary Statistics (13th Edition)
Ch. 9.1 - Verifying Requirements In the largest clinical...Ch. 9.1 - Verifying Requirements In the largest clinical...Ch. 9.1 - Hypotheses and Conclusions Refer to the hypothesis...Ch. 9.1 - Using Confidence Intervals a. Assume that we want...Ch. 9.1 - Interpreting Displays. In Exercises 5 and 6, use...Ch. 9.1 - Treating Carpal Tunnel Syndrome Carpal tunnel...Ch. 9.1 - Testing Claims About Proportions. In Exercises...Ch. 9.1 - Accuracy of Fast Food Drive-Through Orders In a...Ch. 9.1 - Testing Claims About Proportions. In Exercises...Ch. 9.1 - Testing Claims About Proportions. In Exercises...
Ch. 9.1 - Testing Claims About Proportions. In Exercises...Ch. 9.1 - Testing Claims About Proportions. In Exercises...Ch. 9.1 - Testing Claims About Proportions. In Exercises...Ch. 9.1 - Testing Claims About Proportions. In Exercises...Ch. 9.1 - Testing Claims About Proportions. In Exercises...Ch. 9.1 - Prob. 16BSCCh. 9.1 - Testing Claims About Proportions. In Exercises...Ch. 9.1 - Testing Claims About Proportions. In Exercises...Ch. 9.1 - Testing Claims About Proportions. In Exercises...Ch. 9.1 - Testing Claims About Proportions. In Exercises...Ch. 9.1 - Testing Claims About Proportions. In Exercises...Ch. 9.1 - Testing Claims About Proportions. In Exercises...Ch. 9.1 - Prob. 23BBCh. 9.1 - Yawning and Fishers Exact Test In one segment of...Ch. 9.1 - Overlap of Confidence Intervals In the article On...Ch. 9.1 - Equivalence of Hypothesis Test and Confidence...Ch. 9.2 - Independent and Dependent Samples Which of the...Ch. 9.2 - Confidence Interval for Hemoglobin Large samples...Ch. 9.2 - Hypothesis Tests and Confidence Intervals for...Ch. 9.2 - Degrees of Freedom For Example 1 on page 431, we...Ch. 9.2 - In Exercises 520, assume that the two samples are...Ch. 9.2 - In Exercises 520, assume that the two samples are...Ch. 9.2 - In Exercises 520, assume that the two samples are...Ch. 9.2 - In Exercises 520, assume that the two samples are...Ch. 9.2 - In Exercises 520, assume that the two samples are...Ch. 9.2 - In Exercises 520, assume that the two samples are...Ch. 9.2 - In Exercises 520, assume that the two samples are...Ch. 9.2 - In Exercises 520, assume that the two samples are...Ch. 9.2 - In Exercises 520, assume that the two samples are...Ch. 9.2 - In Exercises 520, assume that the two samples are...Ch. 9.2 - In Exercises 520, assume that the two samples are...Ch. 9.2 - In Exercises 520, assume that the two samples are...Ch. 9.2 - In Exercises 520, assume that the two samples are...Ch. 9.2 - In Exercises 520, assume that the two samples are...Ch. 9.2 - In Exercises 520, assume that the two samples are...Ch. 9.2 - In Exercises 520, assume that the two samples are...Ch. 9.2 - Larger Data Sets. In Exercises 2124, use the...Ch. 9.2 - Larger Data Sets. In Exercises 2124, use the...Ch. 9.2 - Larger Data Sets. In Exercises 2124, use the...Ch. 9.2 - Larger Data Sets. In Exercises 2124, use the...Ch. 9.2 - Pooling Repeat Exercise 12 IQ and Lead by assuming...Ch. 9.2 - Degrees of Freedom In Exercise 20 Blanking Out on...Ch. 9.2 - No Variation in a Sample An experiment was...Ch. 9.3 - True? For the methods of this section, which of...Ch. 9.3 - Notation Listed below are body temperatures from...Ch. 9.3 - Units of Measure If the values listed in Exercise...Ch. 9.3 - Degrees of Freedom If we use the sample data in...Ch. 9.3 - In Exercises 516, use the listed paired sample...Ch. 9.3 - In Exercises 516, use the listed paired sample...Ch. 9.3 - In Exercises 516, use the listed paired sample...Ch. 9.3 - In Exercises 516, use the listed paired sample...Ch. 9.3 - In Exercises 516, use the listed paired sample...Ch. 9.3 - In Exercises 516, use the listed paired sample...Ch. 9.3 - Prob. 11BSCCh. 9.3 - Prob. 12BSCCh. 9.3 - In Exercises 516, use the listed paired sample...Ch. 9.3 - In Exercises 516, use the listed paired sample...Ch. 9.3 - In Exercises 516, use the listed paired sample...Ch. 9.3 - In Exercises 516, use the listed paired sample...Ch. 9.3 - Prob. 17BSCCh. 9.3 - Larger Data Sets. In Exercises 1724, use the...Ch. 9.3 - Larger Data Sets. In Exercises 1724, use the...Ch. 9.3 - Larger Data Sets. In Exercises 1724, use the...Ch. 9.3 - Larger Data Sets. In Exercises 1724, use the...Ch. 9.3 - Larger Data Sets. In Exercises 1724, use the...Ch. 9.3 - Prob. 23BSCCh. 9.3 - Prob. 24BSCCh. 9.3 - Body Temperatures Refer to Data Set 3 Body...Ch. 9.4 - F Test Statistic a. If s12 represents the larger...Ch. 9.4 - F Test if using the sample data in Data Set 1 Body...Ch. 9.4 - Testing Normality For the hypothesis test...Ch. 9.4 - Prob. 4BSCCh. 9.4 - In Exercises 516, test the given claim. 5. Color...Ch. 9.4 - In Exercises 516, test the given claim. 6. Color...Ch. 9.4 - In Exercises 516, test the given claim. 7. Testing...Ch. 9.4 - In Exercises 516, test the given claim. 8....Ch. 9.4 - In Exercises 516, test the given claim. 9. Coke...Ch. 9.4 - In Exercises 516, test the given claim. 10. IQ and...Ch. 9.4 - Prob. 11BSCCh. 9.4 - Prob. 12BSCCh. 9.4 - Prob. 13BSCCh. 9.4 - Prob. 14BSCCh. 9.4 - In Exercises 516, test the given claim. 15. Old...Ch. 9.4 - In Exercises 516, test the given claim. 16....Ch. 9.4 - Prob. 17BBCh. 9.4 - Prob. 18BBCh. 9.4 - Finding Lower Critical F Values For hypothesis...Ch. 9 - In Exercises 15, use the following survey results:...Ch. 9 - In Exercises 1-5, use the following survey...Ch. 9 - In Exercises 1-5, use the following survey...Ch. 9 - In Exercises 1-5, use the following survey...Ch. 9 - In Exercises 7-5, use the following survey...Ch. 9 - True? Determine whether the following statement is...Ch. 9 - True? When we collect random samples to test the...Ch. 9 - Dependent or Independent? Listed below are...Ch. 9 - Hypotheses Identify the null and alternative...Ch. 9 - Test Statistics Identify the test statistic that...Ch. 9 - Denomination Effect In the article The...Ch. 9 - Denomination Effect Construct the confidence...Ch. 9 - Heights Listed below are heights (cm) randomly...Ch. 9 - Heights Use a 0.01 significance level with the...Ch. 9 - Before /After Treatment Results Captopril is a...Ch. 9 - Eyewitness Accuracy of Police Does stress affect...Ch. 9 - Are Flights Cheaper When Scheduled Earlier? Listed...Ch. 9 - Variation of Heights Use the sample data given in...Ch. 9 - Family Heights. In Exercises 15, use the following...Ch. 9 - Scatterplot Construct a scatterplot of the...Ch. 9 - Family Heights. In Exercises 1-5, use the...Ch. 9 - Family Heights. In Exercises 1-5, use the...Ch. 9 - Assessing Normality Interpret the normal quantile...Ch. 9 - Braking Reaction Times: Histogram Listed below are...Ch. 9 - Braking Reaction Times: Normal? The accompanying...Ch. 9 - Braking Reaction Times: Boxplots Use the same data...Ch. 9 - In Exercises 5-20, assume that the two samples are...Ch. 9 - Braking Reaction Times: Confidence Intervals a....Ch. 9 - FROM DATA TO DECISION Critical Thinking: Did the...Ch. 9 - Critical Thinking: Did the NFL Rule Change Have...Ch. 9 - Critical Thinking: Did the NFL Rule Change Have...
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