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Suppose that the price of a stock follows Geometric Brownian Motion dSt = u Stdt + o SidBt, with = 10% and o= 20%. What
Suppose that the price of a stock follows Geometric Brownian Motion dSt = u Stdt + o SidBt, with = 10% and o= 20%. What are the expected log return and the standard deviation of log return per quarter? (A) The expected log return is 2% and the standard deviation is 5%. (B) The expected log return is 2.5% and the standard deviation is 5%. (C) The expected log return is 2% and the standard deviation is 10%. (D) The expected log return is 2.5% and the standard deviation is 10%
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