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    Normal Law




    Hi there
    will be very greatfull if anyone can help:
    If X represent the daily yield of the S&P500(US Stock indices) and Y represent the daily yield of the DAX(German Stock Indice). Let assume that X and Y are Following a Normal Law and are independent.
    X~N(M1,S1) M1 mean of X and S1 its standard deviation
    Y~N(M2,S2) M2 mean of Y and S2 its standard deviation
    Looking to calculate the probability:
    P(X>Y and X>0)

    Thanks in advance

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    Re: Normal Law

    In this question you need to invoke the bivariate normal joint CDF, which in turns has no closed form solution unless for special cases.

    You may use, e.g. R and search for packages to calculate the joint probability numerically, if the parameters are provided.

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    Re: Normal Law

    Assumig independence would be rather questionable, unless this is an exercise,BTW.

    In real life I would just simulate the two series and estimate the probability.

    regards

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    Re: Normal Law


    thx very much , I was hoping that we can have an analytic solution to this problem.
    Seems like simulating historically with a large number of occurrence could give me a good estimation.

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