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2 votes

A quant job interview question about (toy) futures

I gave this problem an attempt, but I'm very rusty. All comments and corrections are appreciated. For random variables we use, let's just assume they're nice and have finite expectation and variance. $...
Rylan's user avatar
  • 625
1 vote

A quant job interview question about (toy) futures

First, the majority of this answer is due to Rylan whose answer gave me the idea of reducing the number of states to 5. This then allowed me to avoid the use of Bellman's equation which is probably ...
mark leeds's user avatar
  • 1,140

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