Assume the stock price follows a geometric Brownian motion, where current price S0=50, expected return =0.02 and volatility =0.80. The risk-free interest rate r=0.05 p.a.

Q. Suppose that an investor short-sells 100,000 shares of the stock, what is the amount of loss that the investor is 99% certain that will not be exceeded in 1 months time?