3596随机过程中等derivationmedium
Volatility from a 95th-to-Median Ratio in One Year
题目
For a GBM, the ratio of the 95th percentile of S_1 to its median is observed to be 1.9. What volatility sigma does this imply?
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提交作答时记录，用于后续平均用时统计。
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题目
For a GBM, the ratio of the 95th percentile of S_1 to its median is observed to be 1.9. What volatility sigma does this imply?
解题计时
0:00
提交作答时记录，用于后续平均用时统计。
你的答案