Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/s/s2/b/i/solution

Generate independent standard normal variables and put . The event has probability zero. The ratio calculation in M4 with equal standard deviations gives density , exactly the required distribution with one degree of freedom. The equivalent form has the same law by symmetry.

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