3598随机过程中等derivationmedium
Volatility Matching a 97.5th-to-Median Spread
题目
For a GBM, the ratio of the 97.5th percentile of S_1.5 to its median is observed to be 2.2. What volatility sigma does this imply?
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题目
For a GBM, the ratio of the 97.5th percentile of S_1.5 to its median is observed to be 2.2. 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