A stock is trading at $100. Assume that the stock price follows lognormal distribution. The expected return
Fantastic news! We've Found the answer you've been seeking!
Question:
A stock is trading at $100. Assume that the stock price follows lognormal distribution. The expected return on the stock is 5% and the volatility of the stock return is 40%. Let S be the stock price after six months. What is the mean and standard deviation of ln(S) (natural log of S)? What is the median value of S (50th percentile value)?
Related Book For
Introduction to Derivatives and Risk Management
ISBN: 978-1305104969
10th edition
Authors: Don M. Chance
Posted Date: