
Fundamentals of Differential Equations and Boundary Value Problems
7th Edition
ISBN: 9780321977106
Author: Nagle, R. Kent
Publisher: Pearson Education, Limited
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Chapter 9.3, Problem 40E
To determine
(a)
To find:
The value of the
To determine
(b)
To find:
The value of the
To determine
(c)
To find:
The value of
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Students have asked these similar questions
Question 1. Your manager asks you to explain why the Black-Scholes model may be inappro-
priate for pricing options in practice. Give one reason that would substantiate this claim?
Question 2. We consider stock #1 and stock #2 in the model of Problem 2. Your manager
asks you to pick only one of them to invest in based on the model provided. Which one do you
choose and why ?
Question 3. Let (St) to be an asset modeled by the Black-Scholes SDE. Let Ft be the price
at time t of a European put with maturity T and strike price K. Then, the discounted option
price process (ert Ft) t20 is a martingale. True or False? (Explain your answer.)
Question 4. You are considering pricing an American put option using a Black-Scholes model
for the underlying stock. An explicit formula for the price doesn't exist. In just a few words (no
more than 2 sentences), explain how you would proceed to price it.
Question 5. We model a short rate with a Ho-Lee model drt = ln(1+t) dt +2dWt. Then the
interest rate…
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.)
3. Consider the polynomial equation 6-iz+7z² - iz³ +z = 0 for which the roots are 3i, -2i, -i,
and i.
(a) Verify the relations between this roots and the coefficients of the polynomial.
(b) Find the annulus region in which the roots lie.
Chapter 9 Solutions
Fundamentals of Differential Equations and Boundary Value Problems
Ch. 9.1 - In Problems 1 -6, express the given system of...Ch. 9.1 - In Problems 1 -6, express the given system of...Ch. 9.1 - In Problems 1 -6, express the given system of...Ch. 9.1 - In Problems 1 -6, express the given system of...Ch. 9.1 - In Problems 1 -6, express the given system of...Ch. 9.1 - In Problems 1 -6, express the given system of...Ch. 9.1 - In Problems 7 -10, express the given higher-order...Ch. 9.1 - In Problems 7 -10, express the given higher-order...Ch. 9.1 - In Problems 7 -10, express the given higher-order...Ch. 9.1 - In Problems 7 -10, express the given higher-order...
Ch. 9.1 - In Problems 11 -13, express the given system of...Ch. 9.1 - In Problems 11 -13, express the given system of...Ch. 9.1 - In Problems 11 -13, express the given system of...Ch. 9.2 - In Problems 1-11, find all solutions to the system...Ch. 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 - Prob. 8ECh. 9.2 - Prob. 9ECh. 9.2 - Prob. 10ECh. 9.2 - In Problems 1-11, find all solutions to the system...Ch. 9.2 - Use the Gauss-Jordan elimination algorithm to show...Ch. 9.2 - Prob. 13ECh. 9.2 - Prob. 14ECh. 9.3 - 9.3 Exercises Let A:=[2135] and B:=[1023] Find a...Ch. 9.3 - Prob. 2ECh. 9.3 - Let A=[2411] and B=[21352] Find a AB. b A2=AA b...Ch. 9.3 - Prob. 4ECh. 9.3 - Let A=[1223], B=[1011] and C=[1121] Find a AB. b...Ch. 9.3 - Prob. 6ECh. 9.3 - 9.3 Exercises a. Show that if u and v are each n1...Ch. 9.3 - Prob. 8ECh. 9.3 - Prob. 9ECh. 9.3 - Prob. 10ECh. 9.3 - In Problem 9-14, use the method of Example 1 to...Ch. 9.3 - In Problem 9-14, use the method of Example 1 to...Ch. 9.3 - In Problem 9-14, use the method of Example 1 to...Ch. 9.3 - In Problem 9-14, use the method of Example 1 to...Ch. 9.3 - Prove that if xp satisfy Axp=b, then every...Ch. 9.3 - Let A=[211121112] a. Show that A is singular. b....Ch. 9.3 - In Problems 17-20, find the matrix X1(t) whose...Ch. 9.3 - Prob. 18ECh. 9.3 - Prob. 19ECh. 9.3 - Prob. 20ECh. 9.3 - Prob. 21ECh. 9.3 - Prob. 22ECh. 9.3 - Prob. 23ECh. 9.3 - Prob. 24ECh. 9.3 - Prob. 25ECh. 9.3 - Prob. 26ECh. 9.3 - Prob. 27ECh. 9.3 - Prob. 28ECh. 9.3 - Prob. 29ECh. 9.3 - Prob. 30ECh. 9.3 - Prob. 31ECh. 9.3 - Prob. 32ECh. 9.3 - Prob. 33ECh. 9.3 - 9.3 Exercises Find dx/dt for the given matrix...Ch. 9.3 - 9.3 Exercises Verify that the given vector...Ch. 9.3 - Prob. 36ECh. 9.3 - Prob. 37ECh. 9.3 - Prob. 38ECh. 9.3 - Prob. 39ECh. 9.3 - Prob. 40ECh. 9.3 - Prob. 41ECh. 9.3 - Prob. 42ECh. 9.3 - Prob. 43ECh. 9.4 - In Problems 14, write the given system in the...Ch. 9.4 - Prob. 2ECh. 9.4 - In Problems 14, write the given system in the...Ch. 9.4 - In Problems 14, write the given system in the...Ch. 9.4 - In Problems 5-8, rewrite the given scalar equation...Ch. 9.4 - In Problems 5-8, rewrite the given scalar equation...Ch. 9.4 - In Problems 5-8, rewrite the given scalar equation...Ch. 9.4 - In Problems 5-8, rewrite the given scalar equation...Ch. 9.4 - In Problems 9-12, write the given system as a set...Ch. 9.4 - In Problems 9-12, write the given system as a set...Ch. 9.4 - In Problems 9-12, write the given system as a set...Ch. 9.4 - In Problems 9-12, write the given system as a set...Ch. 9.4 - In Problems 13-19, determine whether the given...Ch. 9.4 - In Problems 13-19, determine whether the given...Ch. 9.4 - In Problems 13-19, determine whether the given...Ch. 9.4 - In Problems 13-19, determine whether the given...Ch. 9.4 - In Problems 13-19, determine whether the given...Ch. 9.4 - In Problems 13-19, determine whether the given...Ch. 9.4 - In Problem 13-19, determine whether the given...Ch. 9.4 - Let...Ch. 9.4 - In Problems 21-24, the given vector functions are...Ch. 9.4 - In Problems 21-24, the given vector functions are...Ch. 9.4 - In Problems 21-24, the given vector functions are...Ch. 9.4 - In Problems 21-24, the given vector functions are...Ch. 9.4 - Verify that the vector functions x1=[etet] and...Ch. 9.4 - Verify that the vector functions...Ch. 9.4 - Prove that the operator define by L[x]:=xAx, where...Ch. 9.4 - Let X(t) be a fundamental matrix for the system...Ch. 9.4 - In Problem 29-30, verify that X(t) is a...Ch. 9.4 - Prob. 30ECh. 9.4 - Prob. 31ECh. 9.4 - Abels Formula. If x1,,xn are any n solutions to...Ch. 9.4 - Using Abels formula Problem 32, confirm that the...Ch. 9.4 - Prob. 34ECh. 9.4 - Prob. 35ECh. 9.4 - Prob. 36ECh. 9.4 - Prob. 37ECh. 9.4 - Prob. 38ECh. 9.5 - In Problems 1-8, find the eigenvalues and...Ch. 9.5 - Prob. 2ECh. 9.5 - In Problems 1-8, find the eigenvalues and...Ch. 9.5 - In Problems 1-8, find the eigenvalues and...Ch. 9.5 - In Problems 1-8, find the eigenvalues and...Ch. 9.5 - In Problems 1-8, find the eigenvalues and...Ch. 9.5 - In Problems 1-8, find the eigenvalues and...Ch. 9.5 - Prob. 8ECh. 9.5 - Prob. 9ECh. 9.5 - Prob. 10ECh. 9.5 - In Problems 11-16, find a general solution of the...Ch. 9.5 - In Problems 11-16, find a general solution of the...Ch. 9.5 - In Problems 11-16, find a general solution of the...Ch. 9.5 - In Problems 11-16, find a general solution of the...Ch. 9.5 - In Problems 11-16, find a general solution of the...Ch. 9.5 - In Problems 11-16, find a general solution of the...Ch. 9.5 - Consider the system x (t)=Ax(t),t0 with A=[1331]...Ch. 9.5 - Consider the system x(t)=Ax(t),t0 with A=[2112] a....Ch. 9.5 - In Problems 19-24, find a fundamental matrix for...Ch. 9.5 - In Problems 19-24, find a fundamental matrix for...Ch. 9.5 - In Problems 19-24, find a fundamental matrix for...Ch. 9.5 - In Problems 19-24, find a fundamental matrix for...Ch. 9.5 - In Problems 19-24, find a fundamental matrix for...Ch. 9.5 - In Problems 31-34, solve the given initial value...Ch. 9.5 - In Problems 31-34, solve the given initial value...Ch. 9.5 - In Problems 31-34, solve the given initial value...Ch. 9.5 - In Problems 31-34, solve the given initial value...Ch. 9.5 - a. Show that the matrix A=[1143] has the repeated...Ch. 9.5 - Prob. 36ECh. 9.5 - Prob. 37ECh. 9.5 - Prob. 38ECh. 9.5 - a. Show that the matrix A=[211121221] has the...Ch. 9.5 - Prob. 40ECh. 9.5 - Prob. 41ECh. 9.5 - Prob. 42ECh. 9.5 - Prob. 43ECh. 9.5 - Prob. 44ECh. 9.5 - Mixing Between Interconnected Tanks. Two tanks,...Ch. 9.5 - Prob. 46ECh. 9.5 - Prob. 48ECh. 9.5 - Stability.A homogeneous system x=Ax with constant...Ch. 9.5 - Prob. 50ECh. 9.6 - In Problems 1-4, find a general solution of the...Ch. 9.6 - In Problems 1-4, find a general solution of the...Ch. 9.6 - In Problems 1-4, find a general solution of the...Ch. 9.6 - In Problems 1-4, find a general solution of the...Ch. 9.6 - In Problems 5-9, find a fundamental matrix for the...Ch. 9.6 - In Problems 5-9, find a fundamental matrix for the...Ch. 9.6 - In Problems 5-9, find a fundamental matrix for the...Ch. 9.6 - In Problems 5-9, find a fundamental matrix for the...Ch. 9.6 - 9.6 Exercises Find a fundamental matrix for the...Ch. 9.6 - In Problems 13 and 14, find the solution to the...Ch. 9.6 - In Problems 13 and 14, find the solution to the...Ch. 9.6 - Show that x1(t) and x2(t) given by equations 4 and...Ch. 9.6 - Show that x1(t) and x2(t) given by equations 4 and...Ch. 9.6 - In Problems 17 and 18, use the results of Problem...Ch. 9.6 - In Problems 17 and 18, use the results of Problem...Ch. 9.6 - For the coupled mass-spring system governed by...Ch. 9.6 - For the coupled mas-spring system governed by...Ch. 9.6 - Prob. 21ECh. 9.6 - Prob. 22ECh. 9.6 - Stability: In Problem 49 of Exercises 9.5, page...Ch. 9.6 - a. a For Example 1, page 535, verify that...Ch. 9.7 - In Problems 1-6, use the method of undetermined...Ch. 9.7 - In Problems 1-6, use the method of undetermined...Ch. 9.7 - In Problems 1-6, use the method of undetermined...Ch. 9.7 - Prob. 4ECh. 9.7 - In Problems 1-6, use the method of undetermined...Ch. 9.7 - In Problems 1-6, use the method of undetermined...Ch. 9.7 - In Problems 7-10, use the method of undetermined...Ch. 9.7 - In Problems 7-10, use the method of undetermined...Ch. 9.7 - In Problems 7-10, use the method of undetermined...Ch. 9.7 - In Problems 7-10, use the method of undetermined...Ch. 9.7 - In Problems 11-16, use the variation of parameters...Ch. 9.7 - Prob. 12ECh. 9.7 - In Problems 11-16, use the variation of parameters...Ch. 9.7 - Prob. 14ECh. 9.7 - In Problems 11-16, use the variation of parameters...Ch. 9.7 - In Problems 11-16, use the variation of parameters...Ch. 9.7 - Find the solution to the given system that...Ch. 9.7 - 9.7 Exercises In Problems 21 and 22, find the...Ch. 9.7 - Using matrix algebra techniques and method of...Ch. 9.7 - Prob. 24ECh. 9.7 - To find a general solution to the system...Ch. 9.7 - For the system of Problem 25, we found that a...Ch. 9.7 - .Find a general solution of the system...Ch. 9.7 - Prob. 28ECh. 9.7 - Prob. 29ECh. 9.7 - Prob. 30ECh. 9.7 - Prob. 31ECh. 9.7 - Prob. 32ECh. 9.7 - Prob. 33ECh. 9.7 - Prob. 34ECh. 9.8 - In Problems 1-6, a show that the given matrix A...Ch. 9.8 - Prob. 2ECh. 9.8 - Prob. 3ECh. 9.8 - Prob. 4ECh. 9.8 - Prob. 5ECh. 9.8 - Prob. 6ECh. 9.8 - In Problems 7-10, determine eAt by first finding a...Ch. 9.8 - Prob. 8ECh. 9.8 - Prob. 9ECh. 9.8 - In Problems 7-10, determine eAt by first finding a...Ch. 9.8 - In Problems 11 and 12, determine eAt by using...Ch. 9.8 - In Problems 11 and 12, determine eAt by using...Ch. 9.8 - In Problems 17-20, use the generalized...Ch. 9.8 - Prob. 18ECh. 9.8 - Prob. 19ECh. 9.8 - Prob. 20ECh. 9.8 - Prob. 21ECh. 9.8 - Prob. 22ECh. 9.8 - Prob. 23ECh. 9.8 - Prob. 24ECh. 9.8 - Prob. 25ECh. 9.8 - Prob. 26ECh. 9.RP - In Problems 1-4, find a general solution for the...Ch. 9.RP - In Problems 1-4, find a general solution for the...Ch. 9.RP - In Problems 1-4, find a general solution for the...Ch. 9.RP - In Problems 1-4, find a general solution for the...Ch. 9.RP - In Problems 5 and 6, find a fundamental matrix for...Ch. 9.RP - Prob. 6RPCh. 9.RP - In Problems 7-10, find a general solution for the...Ch. 9.RP - Prob. 8RPCh. 9.RP - In Problems 7-10, find a general solution for the...Ch. 9.RP - In Problems 7-10, find a general solution for the...Ch. 9.RP - In Problems 11 and 12, solve the given initial...Ch. 9.RP - In Problems 11 and 12, solve the given initial...Ch. 9.RP - In Problems 13 and 14, find a general solution for...Ch. 9.RP - In Problems 13 and 14, find a general solution for...Ch. 9.RP - In Problems 15 and 16, find the fundamental matrix...Ch. 9.RP - In Problems 15 and 16, find the fundamental matrix...
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