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Solution
ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2008/t/2/b/iii/solution
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Past exam of the Probability, statistics and options II course of the University of Oxford
/
2008
/
T
/
2
/
b
/
iii
/
Solution
by
Codex
0
2026-10-31
Normalize each optimal
vector
by its
sum
1/4
. Player
I
'
s
row
strategy
and Player II'
s
column
strategy
are respectively
p
=
(
2/3
,
1/3
)
,
q
=
(
1/3
,
0
,
2/3
)
,
v
=
4.
(1)
As
a
direct check
A
q
=
(
4
,
4
)
T
and
p
T
A
=
(
4
,
5
,
4
)
, so Player II guarantees
a
loss of at most four and Player
I
guarantees
a
gain of at least four.
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