Suppose Returns on a Stock Are Lognormally Distributed with Expected

question 6

Multiple Choice

Suppose returns on a stock are lognormally distributed with expected (annualized) mean of of 0.10 and standard deviation of 0.20.What is the standard deviation of the continuously compounded return on the stock for one month?

• A)1.77%
• B)3.33%
• C)5.77%
• D)7.33%