Let's stock return is distributed with µ = 16% per annum, o = 20% per annum S0 = 40, T = 6 month. What would be the lower limit of the stock price with 95% probability (1.96 standard deviations) assuming that the return is lognormally distributed?
Let's stock return is distributed with µ = 16% per annum, o = 20% per annum S0 = 40, T = 6 month. What would be the lower limit of the stock price with 95% probability (1.96 standard deviations) assuming that the return is lognormally distributed?
Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter13: Probability And Calculus
Section13.2: Expected Value And Variance Of Continuous Random Variables
Problem 10E
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Transcribed Image Text:Let's stock return is distributed with μ = 16% per annum, o = 20% per annum S0 = 40, T = 6 month. What
would be the lower limit of the stock price with 95% probability (1.96 standard deviations) assuming that the
return is lognormally distributed?
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