What is lognormal density and how was these results derived. This is regard to Brownian motion and Ito process

MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
Question

What is lognormal density and how was these results derived. This is regard to Brownian motion and Ito process

Lognormal-density
0.45
0.4
0.35
0.3
Positive outcomes!
0.25
0.2
0.15
0.1
0.05
0.5
1
1.5
2.5
3
E(S,)= S, eT
Var(S,) = S,°e²" (e°t _1)
%3D
46
Transcribed Image Text:Lognormal-density 0.45 0.4 0.35 0.3 Positive outcomes! 0.25 0.2 0.15 0.1 0.05 0.5 1 1.5 2.5 3 E(S,)= S, eT Var(S,) = S,°e²" (e°t _1) %3D 46
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