Ernest Stokely <[email protected]> [2015-11-24 16:28]: > Maybe a naive question but given the price and SD of an asset, is there a way > to calculate the probability of hitting a stop set at X over the next N days? > I know making appropriate assumptions, this is a Wiener process but can't > find the correct equation. > > A) Is there a closed form solution for this? > B) Is there an R function related to this?
A) NAFAIK. My solution using iteration is here: http://www.nosyntax.net/cfwiki/index.php/Probability_of_Touch-lognormal-3 Note that this is not the same as the probability the price is not less than X N days hence. HTH, -rex -- Classical economists look for their keys under a streetlight after losing them in an alley. _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
