Quantiles for Lognormally Distributed Stock Price
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1. Context
In this short video from FRM Part 1 curriculum, we look at how to find the quantiles for a lognormally distributed random variable (in this case the stock price). Such quantiles figure in calculation of confidence intervals, lognormal VaR, credit VaR (using structural models of default) etc. The details of the readings in which this topic appears are given below:
| Area | Valuation and Risk Models |
| Reading | The Black-Scholes-Merton Model |
| Reference | John Hull, Chapter 15. The Black-Scholes-Merton Mode In Options, Futures, and Other Derivatives, 10th Edition (New York: Pearson, 2017). |