My Math Forum Calculating the expected value

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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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