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August 10th, 2010, 01:10 PM  #1 
Newbie Joined: Aug 2010 Posts: 4 Thanks: 0  Calculating the expected value
Assume Lt is iid N(mean = 0.0042, variance = 0.0133) and Rt = exp(Lt)  1. I calculated the E[min(Rt, 0.04)] to be 0.04*(1  normcdf(0.3765)) + exp(0.0042)*exp(0.0133/2)*normcdf(0.3765)  normcdf(0.3765) = 0.0157 However, matlab results indicate that it should instead, be around 0.0282. Do you know what I'm doing wrong here? Thanks a lot for the help 

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