Which of the Following Is Not a Characteristic of a Price

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.