Suppose that the price of a stock follows Geometric Brownian Motion. Over the next year,...
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Suppose that the price of a stock follows Geometric Brownian Motion. Over the next year, the expected log return of this stock is 10% and the standard deviation of log stock return is 40%. What are the expected log return and the standard deviation of log stock return over the quarter?
(A) The expected log return is 2.5% and the standard deviation is 10%.
(B) The expected log return is 2.5% and the standard deviation is 20%.
(C) The expected log return is 5% and the standard deviation is 10%.
(D) The expected log return is 5% and the standard deviation is 20%.
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