Question: ( 2 points ) Suppose that an asset price S follows a geometric Brownian motion with a drift of 11.5% and a volatility of 30%.

(2 points) Suppose that an asset price S follows a geometric Brownian motion with a drift of 11.5% and a volatility of 30%. The asset price is observed every quarter, that is, t=1/4. Thus, the annualized continuously compounded rate of return on this asset is normally distributed with

a mean of 7% and a standard deviation of 60%.

a mean of 3.5% and a standard deviation of 36%.

a mean of 11.5% and a standard deviation of 30%.

a mean of 11.5% and a standard deviation of 60%.

a mean of 7% and a standard deviation of 36%.

a mean of 7% and a standard deviation of 30%.

a mean of 3.5% and a standard deviation of 60%.

a mean of 11.5% and a standard deviation of 36%.

a mean of 3.5% and a standard deviation of 30%

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