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Problem assigned - Future expectation value of arbitrary function of S, E[phi(S(t))] where dS=sigma(S)dW. Asked to solve via PDE vs stochastic. Code in C++ or else to show the methods are equivalent for various different functional forms of sigma and phi.
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Junior Quant Analyst

Interviewed at J.P. Morgan

3.9★
Sep 1, 2015

Problem assigned - Future expectation value of arbitrary function of S, E[phi(S(t))] where dS=sigma(S)dW. Asked to solve via PDE vs stochastic. Code in C++ or else to show the methods are equivalent for various different functional forms of sigma and phi.

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