Hi, quantyst, thanks you.
I got another one on Brownian motion: Suppose price S_t follows dS_t = mu dt + sigma dW_t. M_t is its running maximum. Define a stopping time tau = inf{t>0: S_t < M_t - C}, C is a known constant. What is the expected stopping time E[tau].
Anybody has idea how to solve this one:
A basket has N balls which are numbered. N is an integer between 1 and 100. You randomly pick a ball and find that it is the 5th ball. What is your best guess of what N is?
I checked my installation of Boost. C:\Boost\lib is included in VC++ 2008. But when I compile and make link of QuantLib, I have the following link error: fatal error LNK1104: can not open file 'QuantLib-vc90-mt-sgd-0_9_0.lib'. What is the problem then?
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