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A stock price is currently $20 and the stock price changes following a geometric Brownian motion. Assume that the expected return from the stock is
A stock price is currently $20 and the stock price changes following a geometric Brownian motion. Assume that the expected return from the stock is 10% and its volatility is 20%. What is the probability distribution (i.e. the mean and the variance) for the stock's log price in two years time?
a.
mean=3.16, variance = 8%
b.
mean= 0.16, variance = 8%
c.
mean=3.16, variance = 28.2%
d.
mean=3.88, variance = 28.2%
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