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If a stock price follows geometric Brownian motion, what process does $A(t)$ follow where $A(t)$ is the arithmetic average stock price between time zero and time $t$ ?

   If a stock price follows geometric Brownian motion, what process does $A(t)$ follow where $A(t)$ is the arithmetic average stock price between time zero and time $t$ ?

Options, Futures, and Other Derivatives

Options, Futures, and Other Derivatives

John C. Hull 10th Edition

Chapter 26, Problem 10

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In finance, the stock price is often modeled using the geometric Brownian motion, which is a stochastic process that describes the random movement of the stock price over time. It is given by the following equation: dS(t) = μS(t)dt + σS(t)dW(t) where: - dS(t) is Show more…

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If a stock price follows geometric Brownian motion, what process does $A(t)$ follow where $A(t)$ is the arithmetic average stock price between time zero and time $t$ ?

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