The geometric average in time of geometric Brownian motion is lognormal distributed. These equations express the two parameters of the lognormal distribution as a function of the discretely sampled geometric average. The first averaging point is t1, the last tn, and the total number of averaging points is n. An application is the Vorst model for Asian options. In this model the arithmetic average of the Asian options is approximated with a geometric average.

List of symbols

Y	yield of the udnerlying
	Effective yield of the average of the underlying
	Volatility of the underlying
	Effective volatility of the average of the underlying
n	Number of arveraging points
	Time of the first average
	Time of the last average

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