Quant interview questions

1,322 questions · page 13 of 34

• 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
• A Monte Carlo pricer uses 10,000 paths, and the discounted payoffs have a…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
• Black–Scholes without a computer, part 2 of 3Option pricing models · Applied
• When the model meets the market, part 2 of 3Option pricing models · Applied
• Replicating a binary claim, part 2 of 3Option pricing models · Applied
• Climbing a binomial tree, part 2 of 3Option 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
• You price an arithmetic Asian option by Monte Carlo. What is the natural control variate?Option pricing models · Advanced
• What is the essential difference between a local volatility model and a…Option pricing models · Advanced
• When is the Bachelier, or normal, model preferred to Black and Scholes?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
• A one-year at-the-money payer swaption has an annuity of 1 and a normal…Option pricing models · Advanced
• The Black–Scholes PDE is Θ+1/2σ²S²Γ+rSΔ−rV = 0.Option pricing models · Advanced
• You use antithetic variates: each path is paired with its mirror image, and the…Option pricing models · Advanced
• Why is the Crank–Nicolson scheme popular for pricing with the Black–Scholes…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
• Black–Scholes without a computer, part 3 of 3Option pricing models · Advanced
• When the model meets the market, part 3 of 3Option pricing models · Advanced
• Replicating a binary claim, part 3 of 3Option pricing models · Advanced
• Climbing a binomial tree, part 3 of 3Option 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
• Rehedging a call book, part 1 of 3The Greeks and hedging · Foundation
• 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
• Reading a book’s risk report, part 1 of 3The Greeks and hedging · Foundation
• Neutralising delta and gamma, part 1 of 3The Greeks and hedging · Foundation