Table 1.5

October 22, 2011

My FM320 student Han Wang pointed out that Table 1.5 is not right. It is supposed to have a two tailed probability of outcomes, but the %1 number is 1-the one tailed prob, and the rest are one tailed. So, here are the correct numbers. Set the volatility to 1.16 as per Table 1.2, and get

1%	0.3886496
2%	0.08468295
3%	0.009703866
5%	1.630002e-05
15%	3.007448e-38
23%	1.721029e-87

with the R code to do the calculation

2*pnorm(-23,sd=1.16)

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