If the continuously compounded return on a stock worth $1 currently for a preset interval of time is distributed normally as follows r N(, 2 ) N(0 1, 0 2 2 ), then what are (a) The expected price of the stock after one interval (b) The variance of the stock price ...

a Expected price of the stock after one interval The expected value of a lognor ...

If the continuously compounded return on a stock worth $1 currently for a preset interval of time

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If the continuously compounded return on a stock worth $1 currently for a preset interval of time is distributed normally as follows: r ∼ N(μ, σ²) ≡ N(0.1, 0.2²), then what are

(a) The expected price of the stock after one interval.

(b) The variance of the stock price?

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Derivatives Principles And Practice

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2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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