Assume that the market index is 100. Show that if the expected return on the market is

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Assume that the market index is 100. Show that if the expected return on the market is 15%, the dividend yield is zero, and volatility is 20%, the probability of the index falling below 95 over a 1-day horizon is approximately 0.0000004.

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Derivatives Markets

ISBN: 978-0321280305

2nd Edition

Authors: Robert L. McDonald

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