Essentials of Statistics, Books a la Carte Edition (5th Edition)
5th Edition
ISBN: 9780321926739
Author: Mario F. Triola
Publisher: PEARSON
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Textbook Question
Chapter 9.3, Problem 1BSC
Independent and Dependent Samples Which of the following involve (independent samples?
- a. To test the effectiveness of the Atkins diet, 36 randomly selected subjects are weighed before the diet and six months after treatment with the diet. The two samples consist of the before/after weights.
- b. To determine whether smoking affects memory, 50 randomly selected smokers are given a test of word recall and 50 randomly selected nonsmokers arc given the same test. Sample data consist of the scores from the two groups.
- c. IQ scores are obtained from a random sample of 75 wives and IQ scores are obtained from their husbands.
- d. Annual incomes are obtained from a random sample of 1200 residents of Alaska and from another random sample of 1200 residents of Hawaii.
- e. Scores from a standard test of mathematical reasoning are obtained from a random sample of statistics students and another random sample of sociology students.
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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
Essentials of Statistics, Books a la Carte Edition (5th Edition)
Ch. 9.2 - Verifying Requirements In the largest clinical...Ch. 9.2 - Verifying Requirements In the largest clinical...Ch. 9.2 - Hypotheses and Conclusions Refer to the hypothesis...Ch. 9.2 - Using Confidence Intervals a. Assume that we want...Ch. 9.2 - Interpreting Displays. In Exercises 5 and 6, use...Ch. 9.2 - Interpreting Displays. In Exercises 5 and 6, use...Ch. 9.2 - Testing Claims About Proportions. In Exercises...Ch. 9.2 - Prob. 8BSCCh. 9.2 - Testing Claims About Proportions. In Exercises...Ch. 9.2 - Testing Claims About Proportions. In Exercises...
Ch. 9.2 - Testing Claims About Proportions. In Exercises...Ch. 9.2 - Prob. 12BSCCh. 9.2 - Tennis Challenges Since the Hawk-Eye instant...Ch. 9.2 - Police Gunfire In a study of police gunfire...Ch. 9.2 - Testing Claims About Proportions. In Exercises...Ch. 9.2 - Testing Claims About Proportions. In Exercises...Ch. 9.2 - Testing Claims About Proportions. In Exercises...Ch. 9.2 - Marathon Finishers In a recent New York City...Ch. 9.2 - Overlap of Confidence Intervals In the article On...Ch. 9.2 - Equivalence of Hypothesis Test and Confidence...Ch. 9.2 - Determining Sample Size The sample size needed to...Ch. 9.3 - Independent and Dependent Samples Which of the...Ch. 9.3 - Interpreting Confidence Intervals If the heights...Ch. 9.3 - Interpreting Confidence Intervals What does the...Ch. 9.3 - Hypothesis Tests and Confidence Intervals a. In...Ch. 9.3 - In Exercises 5-20, assume that the two samples are...Ch. 9.3 - Prob. 6BSCCh. 9.3 - In Exercises 5-20, assume that the two samples are...Ch. 9.3 - Prob. 8BSCCh. 9.3 - In Exercises 5-20, assume that the two samples are...Ch. 9.3 - Prob. 10BSCCh. 9.3 - Prob. 11BSCCh. 9.3 - Prob. 12BSCCh. 9.3 - In Exercises 5-20, assume that the two samples are...Ch. 9.3 - In Exercises 5-20, assume that the two samples are...Ch. 9.3 - In Exercises 5-20, assume that the two samples are...Ch. 9.3 - In Exercises 5-20, assume that the two samples are...Ch. 9.3 - In Exercises 5-20, assume that the two samples are...Ch. 9.3 - In Exercises 5-20, assume that the two samples are...Ch. 9.3 - In Exercises 5-20, assume that the two samples are...Ch. 9.3 - In Exercises 5-20, assume that the two samples are...Ch. 9.3 - Prob. 21BSCCh. 9.3 - Large Data Sets. In Exercises 21-24, use the...Ch. 9.3 - Large Data Sets. In Exercises 21-24, use the...Ch. 9.3 - Large Data Sets. In Exercises 21-24, use the...Ch. 9.3 - Prob. 25BBCh. 9.3 - Pooling. In Exercises 25 and 26, assume that the...Ch. 9.3 - Prob. 27BBCh. 9.3 - Prob. 28BBCh. 9.3 - Prob. 29BBCh. 9.4 - True Statements? For the methods of this section,...Ch. 9.4 - Prob. 2BSCCh. 9.4 - Prob. 3BSCCh. 9.4 - Confidence Intervals If we use the sample data in...Ch. 9.4 - Prob. 5BSCCh. 9.4 - Prob. 6BSCCh. 9.4 - Calculations with Paired Sample Data. In Exercises...Ch. 9.4 - Prob. 8BSCCh. 9.4 - Prob. 9BSCCh. 9.4 - Prob. 10BSCCh. 9.4 - Prob. 11BSCCh. 9.4 - Prob. 12BSCCh. 9.4 - In Exercises 920, assume that the paired sample...Ch. 9.4 - In Exercises 920, assume that the paired sample...Ch. 9.4 - In Exercises 516, use the listed paired sample...Ch. 9.4 - Prob. 16BSCCh. 9.4 - In Exercises 920, assume that the paired sample...Ch. 9.4 - In Exercises 920, assume that the paired sample...Ch. 9.4 - In Exercises 920, assume that the paired sample...Ch. 9.4 - In Exercises 920, assume that the paired sample...Ch. 9.4 - Prob. 21BSCCh. 9.4 - Prob. 22BSCCh. 9.4 - Prob. 23BSCCh. 9.4 - Prob. 24BSCCh. 9.4 - Prob. 25BBCh. 9 - In Exercises 1-4, use the following surrey...Ch. 9 - In Exercises 1-4, use the following surrey...Ch. 9 - In Exercises 1-4, use the following surrey...Ch. 9 - In Exercises 1-4, use the following survey...Ch. 9 - Listed below are the costs (in dollars) of...Ch. 9 - Prob. 6CQQCh. 9 - Prob. 7CQQCh. 9 - Prob. 8CQQCh. 9 - Prob. 9CQQCh. 9 - Prob. 10CQQCh. 9 - Prob. 1RECh. 9 - Prob. 2RECh. 9 - Airbags Save Lives In a study of the effectiveness...Ch. 9 - Are Flights Cheaper When Scheduled Earlier? Listed...Ch. 9 - Self-Reported and Measured Female Heights As part...Ch. 9 - Eyewitness Accuracy of Police Does stress affect...Ch. 9 - Prob. 7RECh. 9 - Effect of Blinding Among 13,200 submitted...Ch. 9 - Comparing Means The baseline characteristics of...Ch. 9 - Comparing Variation Use the sample data from...Ch. 9 - Heights of Mothers and Daughters. In Exercises...Ch. 9 - Prob. 2CRECh. 9 - Prob. 3CRECh. 9 - Heights of Mothers and Daughters. In Exercises...Ch. 9 - Prob. 5CRECh. 9 - Dark Survey In a survey of 1032 Americans,...Ch. 9 - Backup Generator The USA Today web site posted...Ch. 9 - Juke Survey Late-night talk show host David...Ch. 9 - Normal Distribution Based on the measurements in...Ch. 9 - Prob. 10CRECh. 9 - Prob. 1FDDCh. 9 - Critical Thinking: Ages of workers killed in the...Ch. 9 - Critical Thinking: Ages of workers killed in the...Ch. 9 - Prob. 4FDDCh. 9 - Prob. 5FDDCh. 9 - Prob. 6FDD
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