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Thread: Geometric Brownian Motion also for exp(St)?

  1. January 10th 2013, 01:54 AM #1
    FireTheft
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    Geometric Brownian Motion also for exp(St)?

    Assume that the the stock price St follows a geometric Brownian motion
    dSt = Stdt + Stdz:

    What is the process for exp(St)? Is this process also a geometric Brownian
    motion?

    thx in advance....
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  2. January 10th 2013, 02:34 PM #2
    chiro
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    Re: Geometric Brownian Motion also for exp(St)?

    Hey FireTheft.

    Have you solved the distribution for St? Once you do this then it will become clearer.
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