5936概率中等数值题medium
Sell Before the Deadline in a Falling Market
题目
You must sell an asset within 3 periods. In period t one offer arrives, drawn uniformly on [0, 1 - 0.2*(t-1)] (a declining market: the range is [0,1] in period 1, [0,0.8] in period 2, [0,0.6] in period 3). You accept and stop, or reject forever (no recall). If you reach period 3 you must accept that offer. Knowing these distributions, find the optimal acceptance thresholds and the expected sale price under the optimal policy.
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