# Questions tagged [normal]

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### Libor Market Model

I try to simulate forward rates with the Libor Market Model (LMM). Unfortunately, I just have data for normal vols instead of lognormal vols which are assumed in the LMM. Is there a way I can adjust ...
• 33
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### Interpreting parameters on Matlab from Patons code on time varying copulas

I ran Andrew pattons code(2006) for Markov switching time varying copulas with an example code given in the Matlab tool box. This is the equation for Markov switching time varying normal copulas I ...
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### What is the distribution of percentage return in general?

In finance, we often assume that the log-returns $\ln(1+R(t))$ follow a normal distribution. Since $\ln(1+R(t)) \approx R(t)$ when $R(t)$ is small, \begin{equation*} dS/S \sim \text{Normal}. \end{...
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### Bachelier option delta = probability of exercise?

Under the Black-Scholes model, the delta of a call option is sometimes interpreted as the probability for the option to end in the money. If I assume that the underlying follows a normal distribution ...
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We consider an stock price $S$ following a normal model: $dS_t = \sigma dW_t$ We can write this as $\frac{dS_t}{S_t}=\frac{\sigma}{S_t}dW_t$ Hence we can see that $S$ follows a "log-normal" ...