Which of the Following Is Not a Characteristic of a Price

question 13

Multiple Choice

Which of the following is not a characteristic of a price process $Y _ { t }$ that follows a geometric Brownian motion (GBM) ?

• A) \(Y _ { t }\)
• Is an exponential function of a linear Ito process
• \(a t + b W _ { t }\)
• ,where
• \(\alpha\)
• And
• \(b\)
• Are constants.
• B) \(Y _ { t }\)
• Is normally distributed.
• C) \(Y _ { t }\)
• Is a continuous process,i.e. ,there are no market "gaps."
• D) \(Y _ { t }\)
• Is non-negative.

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