AdvancedNumeric answer
European options, interest rates at zero. The to box spread is offered at . What is the arbitrage profit per share?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
The worked solution is in Premium
The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.
Learn the method
Reported in interviews at
Jane Street, Optiver, SIG (Susquehanna), IMC Trading, Akuna Capital
More options: fundamentals and arbitrage questions
- Rates are zero and a stock pays no dividend.Foundation
- You buy a call and sell a put with the same strike and expiry.Foundation
- Parity with a dividend in the way, part 1 of 3Foundation
- A stock trades at $100 with no dividends.Applied
- A stock is at $100 with no dividends.Applied
- Rates are zero. A stock at $100 will pay a $3 dividend before expiry.Applied