Wolfram Language & System 10.0 (2014)|Legacy Documentation

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WOLFRAM LANGUAGE FEATURED EXAMPLE

Expected Profit from an Option

Assume to be the price of a financial asset at time and assume it follows a WienerProcess. The value of a simple option is the amount it exceeds 12 at time . Find the expected value of the option.

    
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Plot the value for and different assumptions on maturity time and volatility :
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