Thanks to Bettina, Dimitris and Gavin for their help.
All their solutions work nicely.
For future reference, here are three ways to draw a percent sign in R  
plots:

plot(0:10, 0:10, type = "n")
text(5,7,expression(paste(alpha == 5, "%", sep = "")))
text(5, 5, expression(paste(alpha, " = 5%")))
text(5,3,expression(alpha == 5*"%"))

best regards,
Martin Keller-Ressel



-- 
Martin Keller-Ressel
Research Unit of Financial and Actuarial Mathematics
TU Vienna

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