Can you give me some help with this?
A stock follows the following Ito's process
dS = .17S dS + .4 S dZ
What is the probability that the stock falls more than 10% in a given year?
I'm thinking this is a lognormal distribution but I am unsure of the mean and how to continue
A stock follows the following Ito's process
dS = .17S dS + .4 S dZ
What is the probability that the stock falls more than 10% in a given year?
I'm thinking this is a lognormal distribution but I am unsure of the mean and how to continue
2008 TIA exam 2 question