Normal probability fixed point
The Physics of Finance 2021-02-24
Summary:
Let Z be a standard normal random variable. Then there is a unique x such that Pr(Z < x) = x. That is, Φ has a unique fixed point where Φ is the CDF of a standard normal. It’s easy to find the fixed point: start anywhere and iterate Φ. Here’s a cobweb plot that […]
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