I want to create a lognormal distribution of future stock prices. Using a monte carlo simulation I came up with the standard deviation as being √(days/252) ∗volatility∗mean∗ log(mean). Is this correct?
Answer
I'm not sure I understand, but if you want to compute the variance of exp(X), where X is normally distributed with mean μ and variance σ2, that variance is (from Wikipedia): (exp(σ2)−1)exp(2μ+σ2)
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