Quant interview questions

245 questions · page 4 of 7 · Clear filters

• At 8% a year compounded annually, roughly how many years does money take to double?Time value, rates and linear products · Foundation
• A perpetuity pays $50 a year forever, starting in one year.Time value, rates and linear products · Applied
• Which gives the highest terminal value on the same nominal rate: annual…Time value, rates and linear products · Applied
• A stock trades at $100 and will pay a $2 dividend in three months.Time value, rates and linear products · Applied
• You buy the $100 call for $6 and sell the $110 call for $4.Options: fundamentals and arbitrage · Foundation
• When is it optimal to exercise an American call early on a stock paying no dividends?Options: fundamentals and arbitrage · Applied
• A stock trades at $100 with no dividends.Options: fundamentals and arbitrage · Applied
• You buy the 25-delta call and sell the 25-delta put on the same expiry.Options: fundamentals and arbitrage · Applied
• A stock is at $100 with no dividends.Options: fundamentals and arbitrage · Applied
• Rates are zero. A stock at $100 will pay a $3 dividend before expiry.Options: fundamentals and arbitrage · Applied
• A one-year European box spread with strikes $100 and $120 trades at $19.20.Options: fundamentals and arbitrage · Applied
• You buy the 95 call, sell two 100 calls and buy the 105 call for a net debit of $1.50.Options: fundamentals and arbitrage · Applied
• You buy one $100 call for $5 and sell two $110 calls for $2 each.Options: fundamentals and arbitrage · Applied
• You sell a one-month at-the-money call and buy a three-month call at the same strike.Options: fundamentals and arbitrage · Applied
• Rates are zero. The $100 call is quoted at $9.40 and the $105 call at $4.00, same expiry.Options: fundamentals and arbitrage · Applied
• You are short a deep in-the-money American call on a stock going ex-dividend tomorrow.Options: fundamentals and arbitrage · Applied
• A stock at $100 goes ex a $3 dividend tomorrow.Options: fundamentals and arbitrage · Applied
• A stock trades at $100 with no dividends and rates are 5% continuously compounded.Options: fundamentals and arbitrage · Advanced
• A stock becomes hard to borrow and the borrow cost rises sharply.Options: fundamentals and arbitrage · Advanced
• European options, interest rates at zero.Options: fundamentals and arbitrage · Advanced
• You are short a call struck at exactly where the stock is trading into the…Options: fundamentals and arbitrage · Advanced
• A stock is at $100 with no dividends.Options: fundamentals and arbitrage · Advanced
• Puts on the same expiry are quoted at $2 for the $90 strike, $6 for the $100…Options: fundamentals and arbitrage · Advanced
• Rates are high and a stock on which you hold an American put has collapsed to near zero.Options: fundamentals and arbitrage · Advanced
• A stock is at $100 and in one year moves to either $120 or $80.Option pricing models · Applied · Free solution
• You are convinced a stock will rise with probability 0.9 rather than the 0.5…Option pricing models · Applied · Free solution
• 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
• Price the one-year at-the-money call on a $100 stock at 20% volatility with…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
• Why is the risk-neutral probability used in option pricing generally different…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