# Tag Info

Accepted

• 5,795
Accepted

### Probability of a stock price using implied volatility

I assume you want to real-world probability, because the risk-neutral probability is not a probability in the 'likelihood' sense. Under the real-world measure, we model the stock under the B-S model ...
• 6,178

### General Dynamics of a Tradable Asset under the Risk Neutral Measure

Our market has a tradeable asset $S$ and a risk-less money market account $B$, that is, the numéraire of the risk-neutral measure. We assume the following standard conditions, which are widely ...
• 8,119
Accepted

### Covariance of the product of log normal process and normal procces

I'll give it a try, but am not yet 100% sure that it's the way to go. Ansatz: Let's find the distribution of the integral of a Brownian motion with respect to time (call it $x$) and find the ...
• 6,772

### Log normal price simulation

To my knowledge, adding a minus 1 does not transform a log normal variable into an normal distributed variable. The only thing that I can think of which make sense is the log normal represents a price ...
• 71

### Quantile with periodic investing

The random variable $$X = \sum_{k=1}^{n} A_k\exp(\mathcal{N}(t_k\mu-\sigma\sqrt{t_k}/2,\sigma)))$$ emerges as a weighted sum of individual random variables that are log-normally distributed. ...
• 14.7k
Accepted

### Simulating a stock price with Monte Carlo - Why my solution isn't equivalent to the author's

you got a typo. It should be 40.886 in your last equation. Then $\sigma$ should match. Also, If $\alpha$ means annualized log return, it should be \$\mu\,t = \...
• 712