Question: Price and Return Probability Density Functions Legend frequency = mean = median AALGDR = 0.15 O = SDLGDR = 0.8 - P1 = P0*exp(LGDR) =

Price and Return Probability Density Functions Legend frequency = mean = median AALGDR = 0.15 O = SDLGDR = 0.8 - P1 = P0*exp(LGDR) = P0*(1+NDR) 0 P1mean = (b) PO = 1.2 = current price P1median = (a) GDR = P1/P0 = 1+NDR 0 GAGDR = (c) AAGDR = (d) NDR = (P1-PO)/PO = P0*exp(LGDR) meanNDR 0 medianNDR = (e) LGDR = In(P1/PO) = In(1+NDR) 0 AALGDR = LGAGDR = 0.15

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