What is the probability distribution

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Reference no: EM131224873

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.

Reference no: EM131224873

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