Calculus Volume 3
16th Edition
ISBN: 9781938168079
Author: Gilbert Strang, Edwin Jed Herman
Publisher: OpenStax
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Textbook Question
Chapter 3.2, Problem 69E
Evaluate ddt[u(t)×u'(t)] given u(t)=t2i−2tj+k .
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The purpose of this problem is to solve the Black-Scholes PDE with analytical techniques,
which will lead us back to the Black-Scholes formula. The technique is very similar to the
one used with the Feynman-Kac formula back in MATH 467.
Let's consider the PDE given by
with terminal condition f(T,x)
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of a call option (given the initial condition) at time t if the stock price is x.
(a) The first two things that prevent us from solving this PDE directly are
(i) the fact that we have a terminal condition, instead of an initial condition;
(ii) the terms in front of the derivatives are not constant.
To address these, we use the transformation g(t, x) = ƒ(T − t,e³), equivalent to
f(t, x) = g(T-t, log(x)). Under this condition, determine the PDE and the initial
condition satisfied by g.
(b) Now, the PDE obtained in (a) should have an initial condition and constant coeffi-
cients, but it still…
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النموذج الاول
. . .
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بشما ند الحمر الحمر
الجمهورية الجنية
وزارة التربية والتعليم
اليوم
التاريخ
اللجنة العليا للاختبارات
الزمن
اختبار مادة الجبر والهندسة
لجنة المطابع السرية المركزية
للشهادة الثانوية العامة (القسم العلمي)
الفترة
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ظلل في ورقة الإجابة الدائرة التي تحتوي على الحرف ( ص ) للإجابة الصحيحة والحرف ( خ ) للإجابة الخطأ بحسب رقم الفقرة لكل مما يأتي ( درجة لكل فقرة )
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) بؤرة القطع س" = ١٢ ص هي (
۲
) طول المحور الأصغر للقطع ٩ س + ص = ٩ يساوي 6 وحدات طول .
) إذا كان & عدد مركب ، 181 + 11 = ٦ ، فإن ١١ = ٣ .
) إذا كان م + ۳ ت = ۲ + ت ب م ، ب دع ، فإن م + ب =
5 ( ) إذا كان & = ۱ + ٣ ت ، فإن ٠ = ١٠ .
6 ( - ) إذا كان ٥٠ - ٣ - ١٢٠ ٤ - ٣ ، فإن قيمة ٧ = ٥ .
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)
=
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) إذا كان ح هو الحد الخالي من س في المفكوك ( س +
v. N
8 ( ( قيمة المقدار , = + ۱ ، * . . +
، فإن قيمة ٧ = ١٦ .
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9 ( ) المستقيمان المقاربان للقطع الذي معادلته س" = ١ هما ص = :
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10 ( ) إذا كان ٥ + س = ٢٤ ، فإن قيمة س = - 1
س
11 ( ) إذا كانت النسبة بين الحدين الأوسطين تساوي 9 في المفكوك ( س + - ) ،…
Chapter 3 Solutions
Calculus Volume 3
Ch. 3.1 - Give the component functions x=f(t) and y=g(t) for...Ch. 3.1 - Given r(t)=3secti+2tantj , find the following...Ch. 3.1 - Sketch the curve of the vector-valued function...Ch. 3.1 - Evaluate limt0eti+sinttj+etk .Ch. 3.1 - Given the vector-valued function r(t)=cost,sint ,...Ch. 3.1 - Given the vector-valued function r(t)=t,t2+1 ,...Ch. 3.1 - Let r(t)=eti+sintj+lntk . Find the following...Ch. 3.1 - Find the limit of the following vector-valued...Ch. 3.1 - Find the limit of the following vector-valued...Ch. 3.1 - Find the limit of the following vector-valued...
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(tan(...Ch. 3 - Evaluate the following integrals. 215. 14(t)dt ,...Ch. 3 - Find the length for the following curves. 216....Ch. 3 - Find the length for the following curves. 217....Ch. 3 - Reparametrize the following functions with respect...Ch. 3 - Reparametrize the following functions with respect...Ch. 3 - Find the curvature for the following vector...Ch. 3 - Find the curvature for the following vector...Ch. 3 - Find the curvature for the following vector...Ch. 3 - Find the curvature for the following vector...Ch. 3 - Find the curvature for the following vector...Ch. 3 - Find the curvature for the following vector...Ch. 3 - The following problems consider launching a...Ch. 3 - The following problems consider launching a...Ch. 3 - The following problems consider launching a...
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- الاسم يمنع استخدام الآلة الحاسبة ظلل في ورقة الإجابة الدائرة التي تحتوي على الحرف (ص) للإجابة الصحيحة والحرف (خ) للإجابة الخطأ بحسب رقم الفقرة لكل مما يأتي: درجة لكل فقرة. ( ) نها جا 元 جتا = صفر س ۱ س س -۱ ( ) يمكن إعادة تعريف الدالة د(س) = س قاس لكي تكون متصلة عند س = 7 ( ) إذا كانت د(س) = (٢) س - س ) ؛ فإن د(١) = ٦ ٢ س ص ( ) إذا كانت س + 0= ؛ فإن عند ) - ١ ، - ٦ ) تساوي (٦) ( ) إذا كانت د(س) = س ه ، و (س) = ٣ س ٢ + ٢ س ؛ فإن ( د ) (۱) = ۸ ) ( معادلة ناظم الدالة ص = د(س) عند النقطة ) ( ، د (۲)) هي ص - (د (م) - - د (۲) ( س - م ) ( ) إذا كانت ص = ظتا٢ س ؛ فإن ص = ٢ ص قتا ٢س ) ( إذا كانت د(س) = س ؛ فإن د (T) = جتاس 1- T ( ) إذا كانت د(س) = 1 - جناس جاس ؛ فإن د () = - 1 ( ) إذا كانت الدالة د (س) تحقق شروط مبرهنة القيمة المتوسطة على [ ، ب ] ، فإنه يوجد جـ ] ، ب [ بحيث (جـ) = (P) + (~)- - ب + P 1 2 3 4 5 6 7 8 9 10 11 ( ) للدالة د(س) = لو ( س ) + (٣) نقطة حرجة عند س = . ( ) إذا كان س = - ٢ مقارباً رأسياً للدالة د(س) 12 10 13 14 15 16 17 س = لو|س | + ث - = ۲ س + ٣ ب س + ٤ ، فإن معادلة…arrow_forwardPlease help me answer question b and c for this problem.A student project involved collecting data to see if there was a difference in the amount of time one had to wait at the drive-thru between two fast food restaurants, A and B. She randomly selected 30 cars at fast food restaurant A and 30 cars at fast food restaurant B. For each car chosen, she recorded how much time passed from the placement of the order to receiving their food at the pick-up window. The data is given in the table below measured in Seconds. Use α=0.05.CSV…arrow_forwardPlease help me with the following statistics problem A long-distance runner wants to compare the durability of two running shoe brands: Brand A and Brand B. Instead of testing them separately, 15 runners simultaneously wear Brand A on the left foot and Brand B on the right foot during training runs. The runner continues training as usual and tracks how many kilometers each shoe lasts before showing significant wear (e.g., loss of cushioning, outsole damage). Since both shoes experience the same runner, terrain, and conditions, any lifespan difference can be attributed to the shoe brand rather than external factors. Test whether Brand A running shoes have a significantly shorter lifespan than Brand B when worn under the same conditions by the same runner. CSV: "","A","B" "A",197,193 "B",230,229 "C",179,180 "D",206,205 "E",182,180 "F",141,142 "G",207,207 "H",116,112 "I",78,79 "J",0,0 "K",213,212 "L",86,83 "M",181,181 "N",85,79 "O",73,71 The…arrow_forward
- 6) A farmer has 60 acres on which to plant oats or corn. Each acre of oats requires 100 lbs of fertilizer and 1 hour of labor. Each acre of corn requires 50 lbs of fertilizer and 2 hours of labor. The farmer has 5000 lbs of fertilizer and 100 hours available for labor. If the profit is $60 from each acre of oats and $100 from each acre of corn, what planting combination will produce the greatest total profit? a) Fill in the following chart to help organize the information given in the problem: Oats Labor Fertilizer Land Profit b) Write down the question of interest. Corn Available c) Define variables to answer the question of interest. Call these x and y. d) Write the objective function to answer the question of interest. e) List any constraints given in the problem.arrow_forwardAn article appeared in the Journal of Gambling Issues, in which the authors looked at random samples of Ontario residents who (i) have not completed some form of post-secondary education and (ii) have completed some form of post-secondary education. A code of 0 indicates the person does not have a gambling problem, a code of 1 indicates the person does have a gambling problem. The data is found in the accompanying data file. Download.csv file To count the frequencies of 0 and 1 in each sample, use the table(your_dataset_name$ column's name) function. Make sure to replace "your_dataset_name" with the actual name of your data file and specify the correct column name. For example: table(file60c5d1286c735$ CompletedPSEducation) Let PNOPS represent the proportion of persons not completing some form of post-secondary education who have a gambling problem, and PPs be the proportion of persons having completed post-secondary education who have a gambling problem. (a) Find a 92% confidence…arrow_forwardWe consider a (European) call option on a stock with expiration in 3 months and strike price $10. The annual interest rate on the market is r = 4%. The current price of the stock is $10 and we assume that the stock follows a geometric Brownian motion (Black-Scholes) model with parameters = 6% and σ = 0.2. (a) Determine the price Fo of this option at time t = : 0 (today). (b) Using the formulas provided in the lecture videos, calculate the value of each of the Greeks for this option. Namely, calculate A, T, v, О, p. (c) Find a formula for the change of the option price with respect to a change in the af (St, t) Әк strike price. In other words, determine (d) For each of the suggested modifications below, use an approximation to determine the change in the price of the option above without actually recalculating the price. For each one, provide an intuitive argument to explain why the price increases or decreases. (i) The rate of return μ decreases to 5%. (ii) The interest rate r…arrow_forward
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- calc 3arrow_forwardPage < 1 of 2 - ZOOM + 1) Answer the following questions by circling TRUE or FALSE (No explanation or work required). −1 0 01 i) If A = 0 0 2 0, then its eigenvalues are ₁ = 1,λ₂ = 2, and 13 0 0 = : 0. (TRUE FALSE) ii) A linear transformation is operation preserving because the same result occurs whether you perform the operations of addition and scalar multiplication before or after applying the linear transformation. ( TRUE FALSE) iii) A linear transformation that is one-to-one and onto is called an isomorphism. (TRUE FALSE) iv) If the standard matrix A for the linear transformation T: R³ → R³ is -1 0 01 A = 2 00, then T is invertible. (TRUE FALSE) 0 1 1. v) Let A, B, and C be square matrices of order n. If A is similar to B and B is similar to C, then A is similar to C. ( TRUE FALSE) 2) a) i) Find the matrix that produces the counterclockwise rotation of 30° about the z-axis. ii) Find the image of the vector (1,1,1) for the rotation described in i). b) Give a geometric description…arrow_forwardPls help ASAParrow_forward
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