A stock of $20 will follow a geometric Brownian motion process with = 5% and = 50%. There is also a second stock with a price of $8 and with 2 = 8%...

A stock of $20 will follow a geometric Brownian motion process with = 5% and = 50%.

There is also a second stock with a price of $8 and with 2 = 8% and 2 = 30%. Suppose

I observe 6 months from now that the rst stock has gone to a value of $27. Given the

correlation between their log changes in price is 40%, what is the probability that on this

day, 6 months from now, the second stock price is less than $8?