I'm stuck but here's what I have so far. I'm trying to find the probability that S is bigger than T.

Where do I go from here?

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- Oct 16th 2010, 02:18 PMfinancialSimple problem
I'm stuck but here's what I have so far. I'm trying to find the probability that S is bigger than T.

Where do I go from here? - Oct 16th 2010, 02:26 PMmr fantastic
- Oct 17th 2010, 03:13 PMfinancial
Wow, why couldn't I think of that myself?

So now I have:

Is this correct? - Oct 17th 2010, 04:47 PMfinancial
On a side note, what if they're correlated?

Let's say the covariance between S and T is 1.2. Now, how do I calculate the probability that S is greater than T? - Oct 17th 2010, 04:56 PMmr fantastic
Then obviously you need to review the difference of two correlated normal distributions: http://www.stanford.edu/~srabbani/bivariate.pdf

- Oct 17th 2010, 05:04 PMfinancial
Okay this time I get

[LaTeX ERROR: Compile failed]

And continue the same calculation as previously.

Thank you for your help.