Which of the Following Is Not a Characteristic of a Price

question 11

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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Definitions:

Times Interest Earned

A financial ratio that measures a company's ability to meet its debt obligations based on its income before interest and taxes.