1. 

   jensen Member

   In the solution:
   
   The risk neutral prob is obtained by calculating the prob that log(S10/S0) is less than log(40/60) - where did the term log(40/60) come from?

    

   jensen, Mar 29, 2008

   #1
2. 

   John Potter ActEd Tutor Staff Member

   P[F(10) < 40] = P[F(10)/60 < 40/60] = P[log {F(10)/60} < log {40/60}]

    

   John Potter, Apr 2, 2008

   #2

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