(Technical) Suppose that the continuously compounded returns in each period are normal but are not always independent...

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(Technical) Suppose that the continuously compounded returns in each period are normal but are not always independent from period to period. Will the final stock price after all periods be lognormal?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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(Technical) Suppose that the continuously compounded returns in each period are normal but are not always independent...

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We note that the return over many periods will be the sum of returns over th...View the full answer

Derivatives Principles And Practice

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