Statistics, Binder Ready Version: Unlocking the Power of Data
2nd Edition
ISBN: 9781119163664
Author: Robin H. Lock, Patti Frazer Lock, Kari Lock Morgan, Eric F. Lock, Dennis F. Lock
Publisher: WILEY
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Chapter 2.7, Problem 246E
a.
To determine
Identify which
b.
To determine
Check whether the association between the sepal width and petal length is positive, negative, or neither.
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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 2 Solutions
Statistics, Binder Ready Version: Unlocking the Power of Data
Ch. 2.1 - Exercises 2.1 to 2.4 provide information about...Ch. 2.1 - Exercises 2.1 to 2.4 provide information about...Ch. 2.1 - Prob. 3ECh. 2.1 - Prob. 4ECh. 2.1 - Prob. 5ECh. 2.1 - Prob. 6ECh. 2.1 - Prob. 7ECh. 2.1 - Prob. 8ECh. 2.1 - Prob. 9ECh. 2.1 - Prob. 10E
Ch. 2.1 - In Exercises 2.11 and 2.12, a two-way table is...Ch. 2.1 - Prob. 12ECh. 2.1 - Prob. 13ECh. 2.1 - Prob. 14ECh. 2.1 - Prob. 15ECh. 2.1 - Prob. 16ECh. 2.1 - Prob. 17ECh. 2.1 - Prob. 18ECh. 2.1 - Prob. 19ECh. 2.1 - Culture and Mental Illness A recent study13...Ch. 2.1 - Prob. 21ECh. 2.1 - Prob. 22ECh. 2.1 - Prob. 23ECh. 2.1 - Prob. 24ECh. 2.1 - Electrical Stimulation for Fresh Insight? If we...Ch. 2.1 - Exercises 2.26 to 2.29 use data on college...Ch. 2.1 - Prob. 27ECh. 2.1 - How Accurate Are Student Perceptions? Students in...Ch. 2.1 - Prob. 29ECh. 2.1 - Prob. 30ECh. 2.1 - Prob. 31ECh. 2.1 - Prob. 32ECh. 2.1 - Prob. 33ECh. 2.1 - Prob. 34ECh. 2.1 - Prob. 35ECh. 2.1 - Prob. 36ECh. 2.1 - Prob. 37ECh. 2.1 - Prob. 38ECh. 2.1 - Prob. 39ECh. 2.1 - Prob. 40ECh. 2.1 - Prob. 41ECh. 2.2 - Exercises 2.42 to 2.48 refer to histograms A...Ch. 2.2 - Prob. 43ECh. 2.2 - Prob. 44ECh. 2.2 - Exercises 2.42 to 2.48 refer to histograms A...Ch. 2.2 - Prob. 46ECh. 2.2 - For each of the four histograms E, F, G, and H,...Ch. 2.2 - Prob. 48ECh. 2.2 - In Exercises 2.49 to 2.52, draw any dotplot to...Ch. 2.2 - Prob. 50ECh. 2.2 - Prob. 51ECh. 2.2 - Prob. 52ECh. 2.2 - Prob. 53ECh. 2.2 - Prob. 54ECh. 2.2 - Prob. 55ECh. 2.2 - Prob. 56ECh. 2.2 - Prob. 57ECh. 2.2 - Prob. 58ECh. 2.2 - Prob. 59ECh. 2.2 - Prob. 60ECh. 2.2 - Prob. 61ECh. 2.2 - Prob. 62ECh. 2.2 - Prob. 63ECh. 2.2 - Prob. 64ECh. 2.2 - Prob. 65ECh. 2.2 - Prob. 66ECh. 2.2 - Prob. 67ECh. 2.2 - Prob. 68ECh. 2.2 - Donating Blood to Grandma? Can young blood help...Ch. 2.2 - Prob. 70ECh. 2.2 - Prob. 71ECh. 2.2 - Prob. 72ECh. 2.2 - Prob. 73ECh. 2.2 - Prob. 74ECh. 2.2 - Prob. 75ECh. 2.2 - Prob. 76ECh. 2.2 - Prob. 77ECh. 2.3 - For the datasets in Exercises 2.78 to 2.83, use...Ch. 2.3 - Prob. 79ECh. 2.3 - Prob. 80ECh. 2.3 - Prob. 81ECh. 2.3 - Prob. 82ECh. 2.3 - Prob. 83ECh. 2.3 - Prob. 84ECh. 2.3 - Prob. 85ECh. 2.3 - Prob. 86ECh. 2.3 - Prob. 87ECh. 2.3 - Prob. 88ECh. 2.3 - Prob. 89ECh. 2.3 - Prob. 90ECh. 2.3 - Prob. 91ECh. 2.3 - Prob. 92ECh. 2.3 - Prob. 93ECh. 2.3 - Prob. 94ECh. 2.3 - Prob. 95ECh. 2.3 - Prob. 96ECh. 2.3 - In Exercises 2.94 to 2.97, indicate whether the...Ch. 2.3 - Prob. 98ECh. 2.3 - Prob. 99ECh. 2.3 - Prob. 100ECh. 2.3 - Prob. 101ECh. 2.3 - Prob. 102ECh. 2.3 - Prob. 103ECh. 2.3 - Prob. 104ECh. 2.3 - Prob. 105ECh. 2.3 - Prob. 106ECh. 2.3 - Prob. 107ECh. 2.3 - Prob. 108ECh. 2.3 - Prob. 109ECh. 2.3 - Prob. 110ECh. 2.3 - Prob. 111ECh. 2.3 - Prob. 112ECh. 2.3 - Laptop Computers and Sperm Count Studies have...Ch. 2.3 - Prob. 114ECh. 2.3 - Prob. 115ECh. 2.3 - Prob. 116ECh. 2.3 - Prob. 117ECh. 2.3 - Which Accomplishment of LeBron James Is Most...Ch. 2.3 - Prob. 119ECh. 2.3 - Prob. 120ECh. 2.3 - Prob. 121ECh. 2.3 - Largest and Smallest Standard Deviation Using only...Ch. 2.3 - Prob. 123ECh. 2.3 - Prob. 124ECh. 2.3 - Prob. 125ECh. 2.3 - Prob. 126ECh. 2.3 - Prob. 127ECh. 2.3 - Prob. 128ECh. 2.3 - Prob. 129ECh. 2.3 - Prob. 130ECh. 2.4 - In Exercises 2.131 and 2.132, match the five...Ch. 2.4 - Prob. 132ECh. 2.4 - Prob. 133ECh. 2.4 - Prob. 134ECh. 2.4 - Prob. 135ECh. 2.4 - Exercises 2.133 to 2.136 show a boxplot for a set...Ch. 2.4 - Prob. 137ECh. 2.4 - Prob. 138ECh. 2.4 - Prob. 139ECh. 2.4 - Prob. 140ECh. 2.4 - Literacy Rate Figure 2.39 gives a boxplot showing...Ch. 2.4 - Young Blood Helps Old Brains Exercise 2.69 on page...Ch. 2.4 - Prob. 143ECh. 2.4 - Prob. 144ECh. 2.4 - Prob. 145ECh. 2.4 - Audience Scores on Rotten Tomatoes The variable...Ch. 2.4 - Do Movie Budgets Differ Based on the Genre of the...Ch. 2.4 - Do Audience Ratings Differ Based on the Genre of...Ch. 2.4 - Physical Activity by Region of the Country in the...Ch. 2.4 - Prob. 150ECh. 2.4 - Prob. 151ECh. 2.4 - How Do Honeybees Communicate Quality? When...Ch. 2.4 - Prob. 153ECh. 2.4 - Prob. 154ECh. 2.4 - Prob. 155ECh. 2.4 - Prob. 156ECh. 2.4 - Prob. 157ECh. 2.4 - Prob. 158ECh. 2.4 - Prob. 159ECh. 2.5 - Match the scatterplots in Figure 2.54 with the...Ch. 2.5 - Match the scatterplots in Figure 2.54 with the...Ch. 2.5 - Prob. 162ECh. 2.5 - Prob. 163ECh. 2.5 - Prob. 164ECh. 2.5 - Prob. 165ECh. 2.5 - Prob. 166ECh. 2.5 - Prob. 167ECh. 2.5 - Prob. 168ECh. 2.5 - Prob. 169ECh. 2.5 - Prob. 170ECh. 2.5 - Prob. 171ECh. 2.5 - Prob. 172ECh. 2.5 - Prob. 173ECh. 2.5 - Prob. 174ECh. 2.5 - Prob. 175ECh. 2.5 - Prob. 176ECh. 2.5 - Prob. 177ECh. 2.5 - Prob. 178ECh. 2.5 - Mother’s Love, Hippocampus, and Resiliency...Ch. 2.5 - Prob. 180ECh. 2.5 - Prob. 181ECh. 2.5 - Prob. 182ECh. 2.5 - Prob. 183ECh. 2.5 - Prob. 184ECh. 2.5 - Prob. 185ECh. 2.5 - Prob. 186ECh. 2.5 - Prob. 187ECh. 2.5 - Prob. 188ECh. 2.5 - Prob. 189ECh. 2.5 - Prob. 190ECh. 2.5 - Prob. 191ECh. 2.5 - Prob. 192ECh. 2.5 - Prob. 193ECh. 2.5 - Prob. 194ECh. 2.5 - Iris Petals Allometry is the area of biology that...Ch. 2.5 - Create a Scatterplot Draw any scatterplot...Ch. 2.5 - Prob. 197ECh. 2.5 - Do Movies with Larger Budgets Get Higher Audience...Ch. 2.5 - Prob. 199ECh. 2.6 - In Exercises 2.200 to 2.203, two variables are...Ch. 2.6 - Prob. 201ECh. 2.6 - Prob. 202ECh. 2.6 - Prob. 203ECh. 2.6 - Prob. 204ECh. 2.6 - Prob. 205ECh. 2.6 - Use technology to find the regression line to...Ch. 2.6 - Prob. 207ECh. 2.6 - Prob. 208ECh. 2.6 - Prob. 209ECh. 2.6 - Is It Getting Harder to Win a Hot Dog Eating...Ch. 2.6 - Prob. 211ECh. 2.6 - Football and Cognitive Percentile Exercise 2.143...Ch. 2.6 - Prob. 213ECh. 2.6 - Prob. 214ECh. 2.6 - Prob. 215ECh. 2.6 - Height and Weight Using the data in the...Ch. 2.6 - Prob. 217ECh. 2.6 - Prob. 218ECh. 2.6 - Prob. 219ECh. 2.6 - Prob. 220ECh. 2.6 - Prob. 221ECh. 2.6 - Prob. 222ECh. 2.6 - Prob. 223ECh. 2.6 - Prob. 224ECh. 2.6 - Prob. 225ECh. 2.7 - Prob. 226ECh. 2.7 - Prob. 227ECh. 2.7 - Prob. 228ECh. 2.7 - Visualizing Football and Brain Size Exercise 2.143...Ch. 2.7 - Prob. 230ECh. 2.7 - Prob. 231ECh. 2.7 - Prob. 232ECh. 2.7 - Prob. 233ECh. 2.7 - Prob. 236ECh. 2.7 - Prob. 237ECh. 2.7 - Prob. 239ECh. 2.7 - Prob. 240ECh. 2.7 - Prob. 241ECh. 2.7 - Prob. 244ECh. 2.7 - Prob. 245ECh. 2.7 - Prob. 246ECh. 2.7 - Prob. 247ECh. 2.7 - Prob. 248ECh. 2.7 - Prob. 249ECh. 2.7 - Prob. 250ECh. 2.7 - Prob. 251ECh. 2.7 - Prob. 252ECh. 2.7 - Prob. 253ECh. 2.7 - Prob. 254ECh. 2.7 - Prob. 256ECh. 2.7 - Prob. 257ECh. 2.7 - Prob. 258ECh. 2.7 - Prob. 259ECh. 2.7 - Prob. 260ECh. 2.7 - Prob. 268E
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