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发帖数: 800 | 1 ☆─────────────────────────────────────☆
blackoption (blackoption) 于 (Sun Oct 15 18:56:20 2006) 提到:
遇到两个问题：
1. random walk with 0.6 prob going right, 0.4 prob going left at each step.
starting from 0, what is the prob of hitting b before hitting -a (a>0, b>0)?
i feel the answer is [1-(2/3)^a] / [1-(2/3)^(a+b)], but not sure about it.
any discussion is welcome. also, how do we calculate the expected number of
steps of hitting b before hitting a under this situation?
2. early exercise of ameri |
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