Hot answers tagged lognormal
2
What you have to start with is:
$$dS_t=\mu S_t dt + \sigma S_t dW_t$$
where $W_t$ is a standard brownian motion (SBM).
You want to solve for $S_t$, so how would you proceed?
If you integrate both sides of the equation between 0 and $T$, you get:
$$S_T - S_0= \mu \int_0^T S_t dt + \sigma \int_0^T S_t dW_t$$
Okay and then what? The fact that you have ...
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