0
$\begingroup$

The probability of a stock touching a point A which is below the current spot price is 35%, and the probability of the stock touching a point B which is above the current spot price is 20%.

How can I calculate the probability of the stock touching point A(but B must not have been touched before A is touched)?

Improve this question
$\endgroup$
14
  • 1
    $\begingroup$ This is a bit difficult to answer as you haven't specified a model for your stock! $\endgroup$
    – Yoda And Friends
    Sep 20, 2021 at 6:45
  • 1
    $\begingroup$ If you don’t mind, please what do you mean by model? Is it the distribution? $\endgroup$
    – user59094
    Sep 20, 2021 at 15:21
  • $\begingroup$ Yes, I mean the "distribution". Is your stock assumed to be log normal (e.g. Black-Scholes)? Or normal (Bachelier)? Or other distributions? $\endgroup$
    – Yoda And Friends
    Sep 21, 2021 at 6:28
  • $\begingroup$ Ok assuming a normal distribution, can there be a solution? $\endgroup$
    – user59094
    Sep 21, 2021 at 18:02
  • $\begingroup$ @immediate_blood: normal sort of makes sense but, more precisely, do you mean that the log price follows a geometric brownian motion ? $\endgroup$
    – mark leeds
    Sep 21, 2021 at 21:06

0

Reset to default

Your Answer

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