Quant interview questions

389 questions · page 6 of 10 · Clear filters

• You are convinced a stock will rise with probability 0.9 rather than the 0.5…Option pricing models · Applied · Free solution
• In the Black–Scholes formula, what does Φ(d₂) represent?Option pricing models · Applied
• A stock is at $100, rates are zero, volatility is 20% and expiry is one year.Option pricing models · Applied
• Why are binomial trees still used when a closed form exists for European options?Option pricing models · Applied
• A stock at $50 moves to $60 or $40 over one period. What is the delta of a $50 call?Option pricing models · Applied
• An at-the-money one-year option is worth $8.Option pricing models · Applied
• A stock at $100 moves by a factor of 1.2 or 0.8 each period for two periods…Option pricing models · Applied
• A one-year at-the-money call on a $100 stock has 20% volatility and zero rates.Option pricing models · Applied
• Price the one-year at-the-money call on a $100 stock at 20% volatility with…Option pricing models · Applied
• You solve for implied volatility by bisection on the bracket [0.01,2.00] to a…Option pricing models · Applied
• A stock at $100 moves to $110 or $90 in one period, and $1 invested risk-free…Option pricing models · Applied
• In the same tree ($100 to $110 or $90, R = 1.02), the $100 call is replicated…Option pricing models · Applied
• In the same tree ($100 to $110 or $90, R = 1.02), what is a claim paying $1 in…Option pricing models · Applied
• Price a one-year at-the-money European put on a $100 stock with 20% volatility…Option pricing models · Applied
• For that same option (S = K = 100, σ = 20%, r = 5%, one year), what is the…Option pricing models · Applied
• A futures price is 200 and rates are zero.Option pricing models · Applied
• An at-the-money one-year call on a $100 stock, with rates near zero, trades at $8.Option pricing models · Applied
• A European call at the $100 strike has an implied volatility of 22%.Option pricing models · Applied
• Equity index options show higher implied volatility for low strikes than for high strikes.Option pricing models · Applied
• Which answer to "what is wrong with Black–Scholes?" is strongest in an interview?Option pricing models · Advanced
• Same two-period tree: $100 stock, factors 1.2 and 0.8, zero rates.Option pricing models · Advanced
• What is the essential difference between a local volatility model and a…Option pricing models · Advanced
• A binomial tree with 50 steps prices an option $0.04 above the Black and Scholes value.Option pricing models · Advanced
• Using Black’s model, price a six-month at-the-money call on a futures contract…Option pricing models · Advanced
• Adding jumps to a diffusion model mainly changes the prices of which options?Option pricing models · Advanced
• In the Heston stochastic-volatility model, which parameter chiefly controls the…Option pricing models · Advanced
• A two-step tree has S₀ = 100, u = 1.1, d = 0.9 and a one-step growth factor R = 1.05.Option pricing models · Expert
• What is the sign of gamma on a long put?The Greeks and hedging · Foundation · Free solution
• Where is the time decay of a long option largest?The Greeks and hedging · Foundation
• You are long 10 call contracts with delta 0.55, each on 100 shares.The Greeks and hedging · Foundation
• An option has delta 0.5 and gamma 0.04 per share.The Greeks and hedging · Foundation
• Why can’t you hedge an option book’s gamma by trading the underlying stock?The Greeks and hedging · Foundation
• Which has more vega: a one-month at-the-money option or a one-year at-the-money…The Greeks and hedging · Applied · Free solution
• You are long a straddle and have hedged the delta.The Greeks and hedging · Applied
• A one-year at-the-money call on a non-dividend-paying stock, with positive rates.The Greeks and hedging · Applied
• Where is the gamma of a call option largest?The Greeks and hedging · Applied
• You are long 20 call contracts, each on 100 shares, with delta 0.4.The Greeks and hedging · Applied
• You are long 50 calls with delta 0.6, short 30 puts with delta −0.4, and short…The Greeks and hedging · Applied
• You are long 70 one-month contracts with $4 of vega each.The Greeks and hedging · Applied
• Hedging error falls as one over the square root of the number of hedges.The Greeks and hedging · Applied