Q & A series for FRM - 1

Hi

Any solution for following problem ?

Q1. Stock A has a drift = 0.02 with Variance = 0.0324 and time step = 0.05. Initial price in the observation period was 100. First two randomly selected standard normal variables are 0.253 and -0.675.

What is the simulated stock price after the 2nd step ?

Ans : 99.92.Check and confirm.