Elementary Differential Equations and Boundary Value Problems, Enhanced
Elementary Differential Equations and Boundary Value Problems, Enhanced
11th Edition
ISBN: 9781119381648
Author: Boyce
Publisher: WILEY
Question
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Chapter 9.6, Problem 8P

(a)

To determine

To show: That the origin is a stable critical point by using the given data.

(b)

To determine

To show: That the origin is asymptotically stable by using the given data.

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For each month of the year, Taylor collected the average high temperatures in Jackson, Mississippi. He used the data to create the histogram shown.​   ​Which set of data did he use to create the histogram?   A  55, 60, 64, 72, 73, 75, 77, 81, 83, 91, 91, 92\ 55,\ 60,\ 64,\ 72,\ 73,\ 75,\ 77,\ 81,\ 83,\ 91,\ 91,\ 92 55, 60, 64, 72, 73, 75, 77, 81, 83, 91, 91, 92    B  55, 57, 60, 65, 70, 71, 78, 79, 85, 86, 88, 91\ 55,\ 57,\ 60,\ 65,\ 70,\ 71,\ 78,\ 79,\ 85,\ 86,\ 88,\ 91 55, 57, 60, 65, 70, 71, 78, 79, 85, 86, 88, 91    C  55, 60, 63, 64, 65, 71, 83, 87, 88, 88, 89, 93\ 55,\ 60,\ 63,\ 64,\ 65,\ 71,\ 83,\ 87,\ 88,\ 88,\ 89,\ 93 55, 60, 63, 64, 65, 71, 83, 87, 88, 88, 89, 93    D  55, 58, 60, 66, 68, 75, 77, 82, 86, 89, 91, 91\ 55,\ 58,\ 60,\ 66,\ 68,\ 75,\ 77,\ 82,\ 86,\ 89,\ 91,\ 91 55, 58, 60, 66, 68, 75, 77, 82, 86, 89, 91, 91
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

Elementary Differential Equations and Boundary Value Problems, Enhanced

Ch. 9.1 - Prob. 11PCh. 9.1 - Prob. 12PCh. 9.1 - Prob. 13PCh. 9.1 - Prob. 14PCh. 9.1 - Prob. 15PCh. 9.1 - Prob. 16PCh. 9.1 - Prob. 17PCh. 9.1 - Prob. 18PCh. 9.1 - Prob. 19PCh. 9.2 - In each of Problems 1 through 3, use an...Ch. 9.2 - Prob. 2PCh. 9.2 - Prob. 3PCh. 9.2 - Prob. 4PCh. 9.2 - Prob. 5PCh. 9.2 - Prob. 6PCh. 9.2 - Prob. 7PCh. 9.2 - Prob. 8PCh. 9.2 - Prob. 9PCh. 9.2 - Prob. 10PCh. 9.2 - Prob. 11PCh. 9.2 - Prob. 12PCh. 9.2 - Prob. 13PCh. 9.2 - Prob. 14PCh. 9.2 - Prob. 15PCh. 9.2 - Prob. 16PCh. 9.2 - Prob. 17PCh. 9.2 - Prob. 18PCh. 9.2 - Prob. 19PCh. 9.2 - Prob. 20PCh. 9.2 - Prob. 21PCh. 9.2 - Prob. 22PCh. 9.2 - Prob. 23PCh. 9.2 - Prob. 24PCh. 9.3 - Prob. 1PCh. 9.3 - Prob. 2PCh. 9.3 - Prob. 3PCh. 9.3 - Prob. 4PCh. 9.3 - Prob. 5PCh. 9.3 - Prob. 6PCh. 9.3 - Prob. 7PCh. 9.3 - Prob. 8PCh. 9.3 - Prob. 9PCh. 9.3 - Prob. 10PCh. 9.3 - Prob. 11PCh. 9.3 - Prob. 12PCh. 9.3 - Prob. 13PCh. 9.3 - Prob. 14PCh. 9.3 - Prob. 15PCh. 9.3 - Prob. 16PCh. 9.3 - Prob. 19PCh. 9.3 - Prob. 23PCh. 9.3 - Prob. 24PCh. 9.3 - Prob. 25PCh. 9.3 - Prob. 27PCh. 9.4 - Prob. 1PCh. 9.4 - Prob. 2PCh. 9.4 - Prob. 3PCh. 9.4 - Prob. 4PCh. 9.4 - Prob. 5PCh. 9.4 - Prob. 6PCh. 9.4 - Prob. 7PCh. 9.4 - Prob. 8PCh. 9.4 - Prob. 11PCh. 9.4 - Prob. 12PCh. 9.4 - Prob. 13PCh. 9.4 - Prob. 14PCh. 9.5 - Prob. 1PCh. 9.5 - Prob. 2PCh. 9.5 - Prob. 3PCh. 9.5 - Prob. 4PCh. 9.5 - Prob. 5PCh. 9.5 - Prob. 6PCh. 9.5 - Prob. 7PCh. 9.5 - Prob. 8PCh. 9.5 - Prob. 9PCh. 9.5 - Prob. 10PCh. 9.5 - Prob. 13PCh. 9.5 - Prob. 15PCh. 9.6 - Prob. 1PCh. 9.6 - Prob. 2PCh. 9.6 - Prob. 3PCh. 9.6 - Prob. 4PCh. 9.6 - Prob. 5PCh. 9.6 - Prob. 6PCh. 9.6 - Prob. 7PCh. 9.6 - Prob. 8PCh. 9.6 - Prob. 9PCh. 9.6 - Prob. 10PCh. 9.6 - Prob. 11PCh. 9.7 - Prob. 1PCh. 9.7 - Prob. 2PCh. 9.7 - Prob. 3PCh. 9.7 - Prob. 4PCh. 9.7 - Prob. 5PCh. 9.7 - Prob. 6PCh. 9.7 - Prob. 7PCh. 9.7 - Prob. 8PCh. 9.7 - Prob. 9PCh. 9.7 - Prob. 10PCh. 9.7 - Prob. 11PCh. 9.7 - Prob. 12PCh. 9.7 - Prob. 13PCh. 9.8 - Prob. 1PCh. 9.8 - Prob. 2PCh. 9.8 - Prob. 4PCh. 9.8 - Prob. 5P
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