- Joined
- 4/12/15
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Dear All:
I just finished my first round interview with ANZ. And one question they ask is:
suppose a stock has a process: dS(t) = sigma*dB(t), where B(t) is a standard Brownian motion, and
the current stock price is S(0). There is a barrier H>S(0). Then what is the probability that the stock
price will breach H before time T (T>0) ?
I just finished my first round interview with ANZ. And one question they ask is:
suppose a stock has a process: dS(t) = sigma*dB(t), where B(t) is a standard Brownian motion, and
the current stock price is S(0). There is a barrier H>S(0). Then what is the probability that the stock
price will breach H before time T (T>0) ?