※注意:請於試卷內之「非選擇題作答區」依序作答,並應註明作答之大題及小題題號。
※Please show the detailed calculation process for the questions whenever necessary.
※If the answers are with decimal numbers, please round to the second decimal place, e.g., 99.37 or 2.43%.
- (10%) Find k such that f(x)=kx2 is a probability density function over the interval [2,5]. Then write the probability density function.
- (10%) Find the area of the region E bounded by the ellipse x2a2+y2b2=1.
- 當 x=0 時有 θ=0;
- 當 x=a 時有 θ=π2;
- 求導有 dx=acosθdθ。
- (10%) Solve dydx+yx=e2x.
- (10%) Suppose that the real-valued function f:I→R is integrable, where I=[a,b]×[c,d] is a rectangle in the plane R2. To use Fubini's Theorem to calculate the integral ∫If, what conditions are required? State and explain Fubini's Theorem in details.
- (10%) What are metric spaces? When is a mapping between two metric spaces called continuous?
- 對任何 x∈X 恆有 d(x,x)=0;
- 若 d(x,y)=0,則 x=y;
- 對任何 x,y∈X 恆有 d(x,y)=d(y,x);
- 對任何 x,y,z∈X 恆有 d(x,y)≤d(x,z)+d(z,x)。
- (10%) In February 2021, an automobile manufacturer sells in America, Europe, and Asia, charging a different price in each of the three markets. The price function for cars sold in America is p=20−0.2x (for 0≤x≤100), the price function for cars sold in Europe is q=16−0.1y (for 0≤y≤160), and the price function for cars sold in Asia is r=12−0.1z (for 0≤z≤120), all in thousands of dollars, where x, y, and z are the numbers of cars sold in America, Europe, and Asia, respectively. The company's production cost function is C=22+4(x+y+z) thousand dollars.
- (2%) Find the company's profit function P(x,y,z), which should be the sum of the revenues from different markets minus production costs, and each revenue is price times quantity.
- (8%) Suppose the automobile manufacturer's productivity capacity is 100 cars in this month. How many cars should be sold in each market to maximize profit and what is the maximized profit?
- 公司的獲利函數 P 可表達如下
P(x,y,z)=xp+yq+zr−C=16x−0.2x2+12y−0.1y2+8z−0.1z2−22.
- 根據題意知生產限制為 x+y+z≤100,如此加入鬆弛變量 t 使得 x+y+z+t2=100。因此我們考慮 Lagrange 乘子函數為
F(x,y,z,t,λ)=16x−0.2x2+12y−0.1y2+8z−0.1z2−22+λ(x+y+z+t2−100).
據此解下列的聯立方程組{Fx(x,y,z,t,λ)=16−0.4x+λ=0,Fy(x,y,z,t,λ)=12−0.2y+λ=0,Fz(x,y,z,t,λ)=8−0.2z+λ=0,Ft(x,y,z,t,λ)=2λt=0,Fλ(x,y,z,t,λ)=x+y+z+t2−100=0.
由第四式,可知 λ=0 或 t=0。- 當 λ=0 時則有 x=40、y=60、z=40,但這就表明 x+y+z=140>100,矛盾。
- 當 t=0 時便有 x+y+z=100。那麼將第二式乘以 2 與第三式乘以 2 後將前三式相加便得 λ=−165,如此解得 (x,y,z)=(32,44,24)。
- (10%) A company's marginal cost function is MC(x)=xe−x/2 and fixed costs are 200, where x is a nonnegative real number that denotes the amount of units produced. Find its cost as a function of x. (Hint: Marginal cost is the cost added by producing one additional unit of a product or service.)
- (30%) Consider a power call or put option with the payoff at the maturity T as
CT=max(SiT−Xi,0) and PT=max(Xi−SiT,0),
respectively, where St is the stock price at time t, i is a positive-integer exponent, and Xi denotes the strike price. Under the Black-Scholes framework, their respective value functions toady (t=0) areC0=ΠSi0N(di)−exp(−rT)XiN(d0),
P0=exp(−rT)XiN(−d0)−ΠSi0N(−di),
where Π=Π(i,r,σ,T)=exp(−rT+irT+(i2−i)σ2T/2), di=ln(S0X)+(r−σ22)T+iσ2Tσ√T, d0=ln(S0X)+(r−σ22)Tσ√T, r is the risk-free interest rate, σ is the stock price volatility, and N(⋅) is the cumulative distribution function of the standard normal distribution defined asN(d)=∫d−∞n(x)dx=∫d−∞1√2πe−x22dx,
where n(⋅) is the probability density function of the standard normal distribution.- (10%) Prove that ΠSi0n(di)=exp(−rT)Xin(d0).
- (8%) Derive and express ∂C0∂S0 and ∂P0∂S0 as AN(B) and CN(D), respectively. What are A, B, C, and D?
- (8%) Derive and express ∂2C0∂S20 and ∂2P0∂S20 as EN(F)+Gn(H) and IN(J)+Kn(L), respectively. What are E, F, G, H, I, J, K, and L?
- (4%) In what condition does ∂2C0∂S20 equal ∂2P0∂S20?
- 首先可以發現
d0+di2=ln(S0/X)+(r−σ2/2)T+iσ2T/2σ√T
接著同乘以 di−d0 便有d2i−d202=ln(S0/X)+(r−σ2/2)T+iσ2T/2σ√T⋅iσ2Tσ√T=ln(Si0Xi)+(ir−iσ22)T+i2σ2T2.
隨後取自然指數便有ed2i−d202=Si0Xi⋅exp((ir−iσ22)T+i2σ2T2)
移項並同乘以 exp(−rT)√2π 便有exp(−rT)Xin(d0)=exp(−rT)Xi1√2πe−d202=exp(−rT)Si0exp((ir−iσ22)T+i2σ2T2)⋅1√2πe−d2i2=exp(−rT+irT+(i2−i)σ2T2)Si0n(di)=ΠSi0n(di).
- 首先將 C0 對 S0 求導可得
∂C0∂S0=iΠSi−10N(d0)+ΠSi0n(di)⋅∂di∂S0−exp(−rT)Xin(d0)⋅∂d0∂S0=iΠSi−10N(d0)+1S0σ√T[ΠSi0n(di)−exp(−rT)Xin(d0)]=iΠSi−10N(d0).
因此 A=iΠSi−10、B=d0。另一方面,將 P0 對 S0 求偏導可得∂P0∂S0=exp(−rT)Xin(−d0)⋅−∂d0∂S0−iΠSi−10N(−di)−ΠSi0n(−di)⋅−∂di∂S0=−1S0σ√T[exp(−rT)Xin(−d0)−ΠSi0n(−di)]−iΠSi−10N(−di)=−iΠSi−10N(−di),
其中我們用了 n(−x)=n(x)。因此 C=−iΠSi−10、D=−di。 - 進一步由前一小題的結果計算二階偏導函數。首先有
∂2C0∂S20=iΠ∂∂S0(Si−10N(d0))=i(i−1)ΠSi−20N(d0)+iΠSi−10n(d0)⋅1S0σ√T=i(i−1)ΠSi−20N(d0)+iΠSi−20σ√Tn(d0).
因此 E=i(i−1)ΠSi−20、F=d0、G=iΠSi−20σ√T、H=d0。另一方面則有∂2P0∂S20=−iΠ∂∂S0(Si−10N(−di))=−i(i−1)ΠSi−20N(−di)−iΠSi−10n(−di)⋅−1S0σ√T=−i(i−1)ΠSi−20N(−di)+iΠSi−20σ√Tn(di).
因此 I=−i(i−1)ΠSi−20、J=−di、K=iΠSi−20σ√T、L=di。 - 要使 ∂2C0∂S20=∂2P0∂S20,這等價於
i(i−1)ΠSi−20[N(d0)+N(−di)]+iΠSi−20σ√T[n(d0)−n(di)]=0.
由於 i、Π、Si−20 恆不為零,故等價於(i−1)[N(d0)+N(−di)]+n(d0)−n(di)σ√T=0.
訣竅
按照機率密度的定義求解即可。解法
按照定義可知1=∫52f(x)dx=k∫52x2dx=k3x3|52=39k.
因此 k=139,如此機率密度函數為 f(x)={x239,if x∈[2,5],0,otherwise.。訣竅
利用對稱性可計算第一象限的面積,其中需運用三角代換法處理之。解法
整理方程式考慮在第一象限的曲線為 y=b√1−x2a2,如此所求的面積可表達為A=4∫a0b√1−x2a2dx.
令 x=asinθ,那麼A=4b∫π20√1−sin2θ⋅acosθdθ=2ab∫π20(1+cos2θ)dθ=2ab⋅π2=πab.
訣竅
運用積分因子法求解微分方程即可。解法
對給定的方程同乘以 x 後可得ddx(xy)=xdydx+y=xe2x
如此取不定積分可得xy=12xe2x−14e2x+C4
同除以 x 後得所求函數為y=2xe2x−e2x+C4x
訣竅
回憶關於 Fubini 定理的敘述。解法
設 f 在 I 上可積分且對每個 x∈[a,b] 而言,函數 f(x,⋅) 在 [c,d] 上可積、對每個 y∈[c,d] 而言,函數 f(⋅,y) 在 [a,b] 上可積,則有∫If=∫ba∫dcf(x,y)dydx=∫dc∫baf(x,y)dxdy.
訣竅
根據賦距空間以及連續函數的定義回答即可。解法
我們稱 (X,d) 為賦距空間,意指雙變數函數 d:X×X→R 滿足下列條件訣竅
依據題意設定出獲利函數。隨後根據限制條件使用 Lagrange 乘子法求解。解法
訣竅
根據邊際成本的數學定義使用分部積分法計算即可。解法
按照微積分基本定理可知C(x)=C(0)+∫x0MC(t)dt=200+∫x0te−t/2dt=200+(−2te−t/2−4e−t/2)|x0=204−2xe−x/2−4e−x/2.
是不是有寫錯呀 8的b B應該是di之後好像也都錯了?
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