Show that if with u(x, 0) = u0(x) > 0, then u(x, ) > 0 for

Question:

Show that if

with
u(x, 0) = u0(x) > 0,

then u(x, τ ) > 0 for all τ .

Use this result to show that an option with positive payoff will always have a positive value.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For book-img-for-question

Introduces Quantitative Finance

ISBN: 978-0470319581

2nd edition

Authors: Paul Wilmott

See More Books

Question Posted: Sep 23, 2020 05:54 AM

See More Questions

In each case either show that the statement is true or give an example showing that it is false. Throughout, X, Y, Z, X1, X2,..., Xn denote vectors in Rn. (a) If U is a subspace of Rn and X+Y is in...
Let E be a set in Rm. For each u: E R which has second-order partial derivatives on E, Laplace's equation is defined by a) Show that if u is C2 on E, then Îu = (u) on E. b) Show that if E R3...
In Gamble 1 you have a 99% chance of winning a trip to Venice and a 1% chance of winning tickets to a movie about Venice; and in Gamble 2, you have a 99% of winning the same trip to Venice and a 1%...
Trade promotions refer to offers made to Group of answer choices channel members non-profit organizations businesses consumers Question 2 Consumer promotions refer to offers made to Group of answer...
f(x) = 2x + 3 and g(x) = -3x + 2. For the above function, use base point x0 = 1.0 and x = 0.1 to compute f and g. Find (fg) (the change in the product) by computing f(x0 + x)g(x0 + x) - f(x0)g(x0)....
Determine whether the set of ordered pairs is a function. {(1, 2), (4,-3), (8, -8), (1,-2), (4,-4)) Ofunction O not a function State the domain and range. domain range
In a certain state lottery, people select eight numbers in advance of a random drawing of six numbers. If someone's selections include the six drawn, they receive a large prize, but this prize is...
The Mary Queen, an ocean-going oil tanker, negligently collided with a large freighter. The Mary Queenis insured by an ocean marine hull insurance policy with a running down clause. For each of the...
1. Let be the vector : err =[0.5671; 0.4328%; 0.4555e-01; 0.3305e-02; 0.2707e-04; 0.1660e-7]; In PYTHON, we want to calculate the values of the ratios : errn+1 errn errn+1 errn errn+1 et err 1+5...
Who are Apples iPad competitors? What is Apples competitive position in this industry? Apple has hit three home runs in less than ten yearsthe iPod, iPhone, and iPad. Apple sold three million iPads...
Using a change of time variable, reduce to the diffusion equation when c( ) > 0. Consider the BlackScholes equation, when and r can be functions of time, but k = 2r/ 2 is still a constant. Reduce...
If f(x, ) 0 in the initial value problem with u(x, 0) = 0, and u 0 as |x| , then u(x, ) 0. Hence show that if C 1 and C 2 are European calls with volatilities 1 and 2 respectively, but are...
A large number of preventable errors (e.g., overdoses, botched operations, misdiagnoses) are being made by doctors and nurses in U.S. hospitals. A study of a major metropolitan hospital revealed that...
MURNI Trading was formed on 1 July 2020 with a capital of RM35,000 cash. On the same day, the owner, Puan Nora open a current account in National Bank Bhd and deposited RM35,000 cash into the...
The displacement vector of a continuum is given u= 0.2tXe + 0.3t X e 2 - 0.1tX X 3. Assuming that the material and spatial coordinates coincide, Determine x=xXt) strain and X=X(x, t) reverse...
Calculate the expressions alogr and alogr, including r=xxxx a xk Calculate the terms Ba; in terms of the elements of the Matrix A using the expression Aaj = Siz Bkk + 3 Baj Calculate the expressions...
Auth Bridge Research is a services firm that conducts background verification of new employees hired by its clients. The employee verification department of AuthBridge, is organized into the...
For each of the transactions listed below, work out the changes for the transaction and record these changes in the T-accounts. After finishing the transactions, calculate and show the account...
A solid cylindrical disk has a radius of 0.15 m. It is mounted to an axle that is perpendicular to the circular end of the disk at its center. When a 45-N force is applied tangentially to the disk,...
What are the key elements of a system investigation report?
In no more than three PowerPoint slides, list some general guidelines that a taxpayer can use to determine whether it has an obligation to file an income tax return with a particular state. (Include...
Fallow Corporation is subject to tax only in State X. Fallow generated the following income and deductions. State income taxes are not deductible for X income tax purposes. Sales...
Dillman Corporation has nexus in States A and B. Dillmans activities for the year are summarized below. Determine the apportionment factors for A and B assuming that A uses a three-factor...
1. There are missing parts in the program below and fix the bugs: isJavaFun = true; = is Fish Tasty false; System.out.println("Is Java Fun' is JavaFun); System.out.println("Is Fish TASTY" isFish...
Write regular expressions in Java for the following: Strings between10and20characters (inclusive) which have odd lengths. The allowed characters here are not specified, and should be considered...
These containers are available in four sizes: huge, large, medium, and small, which can hold 50, 20, 5 and 1 widgets, respectively. The cost of each of the containers, at this time, is $35.00 (huge),...

Show that if with u(x, 0) = u0(x) > 0, then u(x, ) > 0 for

Question:

a?u on - 0 0, du at

Step by Step Answer:

It is a statement about a solution of a partial differen...View the full answer

Introduces Quantitative Finance

Students also viewed these Business questions