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Master's Dissertation
DOI
10.11606/D.104.2018.tde-02022018-084716
Document
Author
Full name
Alan Henrique de Jesus
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Carlos, 2017
Supervisor
Committee
Diniz, Marcio Alves (President)
Costa, Eduardo Fontoura
Rifo, Laura Leticia Ramos
Title in Portuguese
Programação linear aplicada a estatística
Keywords in Portuguese
Estatística
Precificação de opções
Programação linear
Abstract in Portuguese
Determinar probabilidades para eventos no qual temos poucas informações ou intervalos para probabilidades não é tão simples. Para isso desenvolveremos conceitos de programação linear, que nos permite resolver de certo modo, o problema de determinar uma probabilidade para um evento de interesse, porém nem sempre de maneira única. Apresentaremos alguns exemplos clássicos da estatística, sendo eles: O Problema de Monty Hall e o Problema da Probabilidade do Testemunho. Além disso, discutiremos o problema de precificação de uma opção de compra, o quais utilizaremos programação linear para resolvê-los.
Title in English
Linear programming applied to Statistics
Keywords in English
Linear programming
Options princing
Statistics
Abstract in English
Determine probabilities for events where we have few information or intervals for probabilities is not so simple. For this we will develop concepts of linear programming, which allows us to solve, in a certain way, the problem of determine a probability for an event of interest, but not always in a unique way. We will present some classic examples of statistics, such as: The Monty Hall Problem and De La Probabilité Des Témoignages. In addition, we will discuss the problem of pricing a call option, where we will use linear programming to solve them.
 
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Publishing Date
2018-02-02
 
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