Statistics for Business and Economics (13th Edition)
13th Edition
ISBN: 9780134506593
Author: James T. McClave, P. George Benson, Terry Sincich
Publisher: PEARSON
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Chapter 9.5, Problem 9.72ACB
(a)
To determine
To identify: The type of experimental design.
(b)
To determine
To identify: The factors and the factor levels.
(c)
To determine
To find: The experimental unit.
(d)
To determine
To find: The dependent variable.
(e)
To determine
To interpret: There is no evidence of factor interaction.
(f)
To determine
To interpret: There is no evidence of main effect for hen age.
(e)
To determine
To interpret: There is an evidence of main effect for limestone diet.
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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
Statistics for Business and Economics (13th Edition)
Ch. 9.1 - What are the treatments for a designed experiment...Ch. 9.1 - What are the treatments for a designed experiment...Ch. 9.1 - What is the difference between an observational...Ch. 9.1 - What are the experimental units on which each of...Ch. 9.1 - Identifying the type of experiment. Brief...Ch. 9.1 - Drafting NFL quarterbacks. Refer to the Journal of...Ch. 9.1 - Corporate sustainability and firm characteristics....Ch. 9.1 - Prob. 9.8ACBCh. 9.1 - Can money spent on gifts buy love? Refer to the...Ch. 9.1 - Value perceptions of consumers. Refer to the...
Ch. 9.1 - Value perceptions of consumers (contd). Refer to...Ch. 9.1 - Reducing stress in livestock transported to...Ch. 9.1 - Mixed gender decision-making groups. In business,...Ch. 9.1 - Testing a new pain-reliever tablet. Paracetamol is...Ch. 9.2 - Use Tables V, VI, VII, and VIII in Appendix D to...Ch. 9.2 - Find the following probabilities: a. P (F 3.48)...Ch. 9.2 - Consider dot plots 1 and 2 shown below. Assume...Ch. 9.2 - Refer to Exercise 9.17. Conduct a two-sample...Ch. 9.2 - Refer to Exercises 9.17 and 9.18. Complete the...Ch. 9.2 - A partially completed ANOVA table for a completely...Ch. 9.2 - The data in the next table resulted from an...Ch. 9.2 - Prob. 9.22ACBCh. 9.2 - Prob. 9.23ACBCh. 9.2 - Prob. 9.24ACBCh. 9.2 - Prob. 9.25ACBCh. 9.2 - Making high-stakes insurance decisions. The...Ch. 9.2 - Contingent valuation of homes in contaminated...Ch. 9.2 - Study of recall of TV commercials. Do TV shows...Ch. 9.2 - Do the media influence your attitude toward...Ch. 9.2 - Homework assistance for accounting students. Refer...Ch. 9.2 - Prob. 9.31ACICh. 9.2 - Is honey a cough remedy? Pediatric researchers...Ch. 9.2 - Prob. 9.33ACICh. 9.2 - Banning controversial sports team sponsors....Ch. 9.3 - Consider a completely randomized design with k...Ch. 9.3 - Prob. 9.36LMCh. 9.3 - Prob. 9.37LMCh. 9.3 - Prob. 9.38LMCh. 9.3 - Prob. 9.39LMCh. 9.3 - Prob. 9.40ACBCh. 9.3 - Evaluation of flexography printing plates. Refer...Ch. 9.3 - Guilt in decision making. The effect of guilt...Ch. 9.3 - Prob. 9.43ACBCh. 9.3 - Prob. 9.44ACBCh. 9.3 - Prob. 9.45ACICh. 9.3 - Study of recall of TV commercials. Refer to the...Ch. 9.3 - Prob. 9.47ACICh. 9.3 - Prob. 9.48ACICh. 9.3 - Prob. 9.49ACICh. 9.4 - A randomized block design yielded the following...Ch. 9.4 - Prob. 9.51LMCh. 9.4 - A randomized block design was used to compare the...Ch. 9.4 - Prob. 9.53LMCh. 9.4 - Prob. 9.54ACBCh. 9.4 - Peer mentor training at a firm. Peer mentoring...Ch. 9.4 - Prob. 9.56ACBCh. 9.4 - Interactive video games and physical fitness. Wii...Ch. 9.4 - Prob. 9.58ACBCh. 9.4 - A new method of evaluating health care research...Ch. 9.4 - Prob. 9.60ACICh. 9.4 - Prob. 9.61ACICh. 9.4 - Stress in cows prior to slaughter. What is the...Ch. 9.4 - Anticorrosive behavior of steel coated with epoxy....Ch. 9.5 - Suppose you conduct a 4 3 factorial experiment....Ch. 9.5 - Prob. 9.65LMCh. 9.5 - The partially complete ANOVA table given next is...Ch. 9.5 - Prob. 9.67LMCh. 9.5 - The next table gives data for a 2 2 factorial...Ch. 9.5 - Suppose a 3 3 factorial experiment is conducted...Ch. 9.5 - Dynamics of the buyer-seller relationship. An...Ch. 9.5 - Prob. 9.71ACBCh. 9.5 - Prob. 9.72ACBCh. 9.5 - Prob. 9.73ACBCh. 9.5 - Prob. 9.74ACBCh. 9.5 - Temptation in consumer choice. Are you willing to...Ch. 9.5 - Commercial eggs produced from different housing...Ch. 9.5 - Prob. 9.77ACICh. 9.5 - Eyewitnesses and mugshots. Criminologists...Ch. 9.5 - Impact of flavor name on consumer choice. Do...Ch. 9 - What is the difference between a one-way ANOVA and...Ch. 9 - Explain the difference between an experiment that...Ch. 9 - What are the treatments in a two-factor...Ch. 9 - Why does the experimentwise error rate of a...Ch. 9 - A completely randomized design is used to compare...Ch. 9 - An experiment employing a randomized block design...Ch. 9 - The following table shows a partially completed...Ch. 9 - Prob. 9.89ACBCh. 9 - Prob. 9.90ACBCh. 9 - Impact of paper color on exam scores. A study...Ch. 9 - Study of mutual fund performance. Mutual funds are...Ch. 9 - Study of mutual fund performance. Refer to...Ch. 9 - Prob. 9.94ACBCh. 9 - Prob. 9.95ACBCh. 9 - Prob. 9.96ACBCh. 9 - Bakers vs. brewers yeast. The Electronic Journal...Ch. 9 - A managerial decision problem. A direct-mail...Ch. 9 - Ethics of downsizing. A major strategic...Ch. 9 - Absentee rates at a jeans plant. A plant that...Ch. 9 - Effectiveness of sales closing techniques....Ch. 9 - Prob. 9.103ACICh. 9 - Prob. 9.104ACICh. 9 - Managers trust and job-related tension. Research...Ch. 9 - Testing the effectiveness of supermarket sales...Ch. 9 - Prob. 9.107ACICh. 9 - Prob. 9.108ACICh. 9 - Pollutants at a housing development. Polycyclic...Ch. 9 - Explain why both of the situations n Activity 8.1...
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