A stock price is currently 60 per share and follows the, Ask an Expert

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A stock price is currently $60 per share and follows the geometric Brownian motion dPt = µPt dt + σ Pt dt.

Assume that the expected return µ from the stock is 20% per annum and its volatility is 40% per annum.

What is the probability distribution for the continuously compounded rate of return of the stock over 2 years? Obtain the mean and standard deviation of the distribution.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91980793

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