Assume that the price of an asset follows the Geometric Brownian process with an expected rate of
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Assume that the price of an asset follows the Geometric Brownian process with an expected rate of return of 10% per annum and a volatility of 20% per annum. Suppose the asset price at present is $100, find the expected value and variance of the asset price half a year from now and its 90% confidence limits.
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Sultan Ghulam Dastgir
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