Please see the attached file “Q11.5.doc” for the problem statement.
suppose that w is normal and has expected value a and variancesigma^2. so the expected value of u = exp(w) is exp(a + 0.5sigma^2).
What is the variance of u: var(u)?
Please see the attached file for detailed solution.
By definition, the variance of random variable X …
The solution shows how to find out the variance of u, which is the exponential function of a normally distributed variable.