Question: Let S(t), t 0 be a geometric Brownian motion process with drift parameter and volatility parameter . Assuming that S(0) = 5, find Var(S(t)). Hint:

Let S(t), t 0 be a geometric Brownian motion process with drift parameter and

volatility parameter . Assuming that S(0) = 5, find Var(S(t)). Hint: Use the identity

Var(X) =( E[X]2 -(E[X])2.

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