JP Morgan 面经

1. dX_t = exp(-rt)dW_t, what's the variance of X_t?

2. stock price = 100, will be 120 w.p. 0.5, and 70 w.p. 0.5, what's the
price of an at-the-money option?

3. what's the algorithm to generate normal r.v. and exponential r.v.?

4. for what option you prefer to use finite difference, and what prefer
using Monte Carlo?

5. How to detect a loop in a link list? (totally lost@@)

6. 我不大会C++，就往我会的上面扯，我说我听过bubble sort和binary search，他就
问了我下这俩的复杂度

7. 骰子题，应该是经典题了吧。 最多可以掷三次，自己决定stop与否，payoff 是最
后一次掷的点数。 what's the price for offering this game?

8. 其他的还问了一些stochastic volality 和 short-rate model。