Let me start off by saying that I am not a statistics wiz; I've taken an introductory college stat class, and that is about it. So if I mix up terms here, bear with me. I'm working on a finance thesis, focusing on options and value at risk.
My problem is as follows: I am using a discrete pricing model (binomial tree), and I have a number of possible outcomes with corresponding probabilities. I.e. Result Prob Cum 4735 0,0080 0,0080 2522 0,0530 0,0610 1343 0,1537 0,2147 715 0,2548 0,4695 381 0,2640 0,7335 203 0,1750 0,9085 108 0,0725 0,9810 58 0,0172 0,9982 31 0,0018 1,0000 >From these values it is easy to draw a nice and smooth curve in Excel, showing the distribution of the outcomes fairly exact (using scatter plot with lines). Now I want an estimate of, say, the 5th percentile of the outcomes. It is of course possible to use the cumulative probability and get a "linear" eastimate. I am wondering whether anyone can think of a more exact and elegant way of doing this? Is there any statistics plug-ins that could be helpful? Any help would be greatly appreciated. . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
