What is the expectation of the asset price

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Reference no: EM132208099

Question - A geometric Brownian motion model for an asset price asserts that the cumulative log-return by time t (years) is S(t) = 0.03t + 0.16W_t where (W_t) is a standard Brownian motion. The asset price today is $10.

a. What is the distribution of the cumulative log-return over 2 years?

b. What is the expectation of the asset price in 2 years' time?

Reference no: EM132208099

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