The PDF version of this problemset can be downloaded here.
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After years of hard work Optiver has developed a mathematical model that allows them to predict wether or not a company will be succesful. This obviously gives them a great advantage on the stock market.
In the past, Optiver made a deal with a big company, which forces them to buy shares of the company according to a fixed schedule. Unfortunately, Optiver’s model has determined
that the company will go bankrupt after exactly n days, after which their shares will become worthless.
Still, Optiver holds a large number of sell options that allows them to sell some of the shares before the company goes bankrupt. However, there is a limit on the number of shares Optiver can sell every day, and price Optiver receives for a share may vary from day to day. Therefore, it is not immediately clear when Optiver should sell their shares to
maximize their profit, so they asked you to write a program to calculcate this.
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Migrated from old NTUJ.
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