About this question
Hard · Probability & Statistics · Quant Trader interview question · probability, expected-value, asymptotics, geometric-distribution
You are tasked with analyzing the potential upside of a new options trading strategy. The strategy's profitability in any given day can be modeled as a Geometric random variable representing the number of successful trades before the first failure, with a daily success probability p. You want to estimate the expected maximum daily profit over n trading days. Assume daily profits are independent and identically distributed. Let $X_1, X_2, ..., X_n$ be i.i.d. Geometric random variables with succ