Re: Probability of exceeding a specific value

matt271829-news@xxxxxxxxxxx writes:

On Sep 18, 4:31 pm, grosu <gr...@xxxxxxxxxxxxx> wrote:
The price is not normally distributed.
The initial price is known to be 10$.
Then, the price changes every time step, with the change in the price
being normally distributed, that is the Delta of the price. But, the
price can go down as well as up.
I am not interested in the price after k time stpes. I am interested in
the probability of the price exceeding 13$, and the time expected for
this to hapen.

Although, as has been pointed out, the probability of the price
eventually exceeding $13 is 1, the expected time for this to happen is
infinite. Isn't it?

Oops, yes... I should have known that. In fact, the process is just a
Brownian motion observed at discrete times, so it's sufficient to note
that the expected time for Brownian motion to hit 3 is infinite.
--
Robert Israel israel@xxxxxxxxxxxxxxxxxxxxxxxxxxxxx
Department of Mathematics http://www.math.ubc.ca/~israel
University of British Columbia Vancouver, BC, Canada
.

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