Suppose that two random variables V₁ and V₂ have uniform distributions where all values between 0 and 1 are equally likely. Use a Gaussian copula to define the correlation structure between V₁ and V₂. Let (x,y;) denote the standard bivariate normal cumulative distribution function with correlation . What is the probability Prob(V₁<0.3, V₂<0.4) if =0.4?

a.

(0.3,0.4;0.4) > 0.12

b.

(0.3,0.4;0.4) < 0.12

c.

(-0.52,-0.25;0.4) < 0.12

d.

(-0.52,-0.25;0.4) > 0.12