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Question: ExpectedValue Function

Question:ExpectedValue Function

Dominik Andree 5 Maple
expectedvalue finance
May 19 2019
1

I'm trying to use the ExpectedValue function to get the next close value of a stock.

restart; with(Finance)

W := WienerProcess()

T := 1.0

S := SamplePath(W(t), t = 0 .. T, timesteps = 100, replications = 10^4)

A := S[1 .. 10^4, 50]

TI := 1

AN := 100 (Start Value)

sigma := 3.5 (volatility)

r := 0.5e-1    (interest)

ANF := AN*exp((r-(1/2)*sigma^2)*TI+sigma*W(TI))       (ANF: is the forecasting Value)

ExpectedValue(ANF, timesteps = 100, replications = 10^3)

Is this approach right?
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