Let {St, t ≥ 0} a Geometric Brownian motion process with µ r = 6 and volatility σ = 3. If S 0 = 12, ﬁnd:
a) P [S1.6 > 40]
b) P [S0.6 <= 10]
c) P [S0.8 > S0.6]
Let {St, t ≥ 0} a Geometric Brownian motion process with µ r = 6 and volatility σ = 3. If S 0 = 12, ﬁnd:
a) P [S1.6 > 40]
b) P [S0.6 <= 10]
c) P [S0.8 > S0.6]
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