Algorithm · Optiver · Hard
You need to buy n units of an asset, one after another. For each unit, the market price is a random draw X from a continuous uniform distribution over the interval [a, b]. When the market price x for the current unit is revealed, you can take one of two actions: Buy at Market Price: Pay x. Buy at Fixed Price: Pay a preset amount p. You are allowed to use the fixed-price option at most k times across all n purchases. Your goal is to determine the minimum expected total cost…
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