[R-SIG-Finance] Computing stop probability

Nick White n-e-w at qtradr.net
Wed Nov 25 01:31:32 CET 2015

You might want to check out the derivation of the Thorp /
Black-Scholes-Merton formula as it deals with essentially the same

On Wed, Nov 25, 2015 at 11:27 AM, Ernest Stokely <wizardchef at gmail.com>

> 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?
> Ernie
> Sent from my iPhone
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