3599随机过程中等derivationmedium
Short-Horizon Volatility from an Upper Quantile Ratio
题目
For a GBM, the ratio of the 90th percentile of S_0.5 to its median is observed to be 1.3. What volatility sigma does this imply?
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题目
For a GBM, the ratio of the 90th percentile of S_0.5 to its median is observed to be 1.3. 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