LGDR = ln(P1/P0) = ln(1+NDR)
0
AALGDR = LGAGDR = 0.1
NDR = (P1-P0)/P0 = exp(LGDR)-1
0
meanNDR = AAGDR-1 = 0.656986
medianNDR = GAGDR-1 = 0.105171
modeNDR = modeGDR-1 = -0.508356
-1
GDR = P1/P0 = 1+NDR
0
AAGDR = exp(AALGDR+σ^2/2) = 1.656986
GAGDR = exp(AALGDR) = 1.105171
modeGDR = exp(AALGDR-σ^2) = 0.491644
P1 = P0*exp(LGDR) = P0*(1+NDR)
0
P1mean = P0*AAGDR = 1.988383
P1median = P0*GAGDR = 1.326205
P1mode = P0*modeGDR = 0.589973
frequency
Legend
= mean
= median
= mode
AALGDR = 0.1
σ = SDLGDR = 0.9
P0 = 1.2 = current price
Price and Return Probability Density Functions