Quant interview questions

52 questions · page 1 of 2 · Clear filters

• A stock at $100 goes to $120 or $90 in one period, rates are zero.Option pricing models · Foundation
• In a Cox–Ross–Rubinstein tree with monthly steps and 30% annual volatility…Option pricing models · Foundation
• A one-period tree has u = 1.2, d = 0.85 and a growth factor R = 1.03.Option pricing models · Foundation
• What does the Black–Scholes formula give for a one-year at-the-money call on a…Option pricing models · Foundation
• Black–Scholes without a computer, part 1 of 3Option pricing models · Foundation
• When the model meets the market, part 1 of 3Option pricing models · Foundation
• Replicating a binary claim, part 1 of 3Option pricing models · Foundation
• Climbing a binomial tree, part 1 of 3Option pricing models · Foundation
• 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
• 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
• 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