Question is asked to derive all necessary formulae but you don't need to derive for log normal. What exactly this question is all about? Since we can obtain mean and standard deviation quickly by using log normal But as per question we can't need to perform log normal. But if you check solution then it mentioned that that we could use the log normal distribution Can you check once and share your thoughts...
It's a pretty standard question. You need to derive the result quoted at the top of page 17, chapter 15, to show that S5 is also log-normally distributed. You also need to work out the parameters of this distribution (by first working out the parameters of (1+i)) and then use them to work out the mean and variance. Look at Exam-style Q2(I) at the end of chapter15 as a stepping stone.
