On page 282 of the 6th Edition of the Hull book, he says, in the context of Example 13.1
"...There is a 95% probability that a normally distributed variable has a value within 1.96 SD of the mean..."
When I try this in Excel using NORMSINV(0.95), I get the Z value as 1.65 and not 1.96.
Only when I do NORMSINV(0.975) do I get 1.96
Is there a typo in the book or am I wrong somewhere....Methinks that the text should have said:
"Hence with 97.5% confidence...."
if the rest of the narrative is to be construed as a correct.
"...There is a 95% probability that a normally distributed variable has a value within 1.96 SD of the mean..."
When I try this in Excel using NORMSINV(0.95), I get the Z value as 1.65 and not 1.96.
Only when I do NORMSINV(0.975) do I get 1.96
Is there a typo in the book or am I wrong somewhere....Methinks that the text should have said:
"Hence with 97.5% confidence...."
if the rest of the narrative is to be construed as a correct.