Can anyone show me how to answer this please?

A stock has beta of 2.0 and stock specific daily volatility of 0.04. Suppose that yesterday’s closing price was 95 and today the market goes up by 3%. What’s the probability of today’s closing price being at least 98?

  • $\begingroup$ Is this homework? $\endgroup$ Feb 11, 2014 at 15:28
  • $\begingroup$ @LouisMarascio Feels like it! But no it is not. $\endgroup$
    – ManInMoon
    Feb 11, 2014 at 15:48
  • $\begingroup$ If it is not homework, perhaps you want to share some more information, else why not just go with this? 1-pnorm((<end>-<start>)/100,mean=E(r_stock),sd=(<beta>*<vola>)) $\endgroup$
    – RndmSymbl
    Feb 11, 2014 at 20:27
  • $\begingroup$ @RndmSymbl Could you show me the worked out numbers step by step pls. $\endgroup$
    – ManInMoon
    Feb 12, 2014 at 7:22
  • $\begingroup$ @ManInMoon this question is better asked here: math.stackexchange.com/questions/339572/… And I have improved the answer there. $\endgroup$
    – RndmSymbl
    Feb 15, 2014 at 18:05


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.