Hot answers tagged lognormal
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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