第 4 / 4 页
非代码面试题
显示 19 / 79 道匹配题目
答题状态：未尝试未正确已正确
ID题目领域难度题型进度权限
4535Static Replication Scenario 20Why does static payoff replication still leave you exposed to the prices of the building blocks at inception?数理金融中等essay未尝试面试订阅4536First Building Blocks for a Flat-Then-Ramp-Then-Flat PayoffA payoff is flat below K1, rises with constant slope 0.4 between K1 and K2, and is flat again above K2. Before writing numbers, what static building blocks should you try first, and why?数理金融中等essay未尝试面试订阅4537Warning Sign for a True Jump in the PayoffA target payoff has a genuine jump discontinuity at strike K, but the desk only has plain vanilla calls and puts at that maturity. What is the first replication warning sign you should notice?数理金融中等essay未尝试面试订阅4538Contract Matching Before Using Put-Call ParityBefore invoking put-call parity inside a static replication argument, what exact contract-matching conditions must you confirm first?数理金融中等essay未尝试面试订阅4539Missing Strike and Exact Static ReplicationA payoff has its key kink at K = 97, but the listed option grid only trades strikes 95 and 100 at the right maturity. What should you conclude first about exact static replication from listed vanillas alone?数理金融中等essay未尝试面试订阅4540Why the Payoff Sketch Comes Before Instrument AlgebraWhen a structured payoff is described verbally, why should you sketch its piecewise graph before choosing any static instrument weights?数理金融中等essay未尝试面试订阅4541Call Superhedge Upper Bound 1European calls with strikes 90 and 110 trade at prices 14 and 5. Using only static positions in these two calls, what is the tightest model-free upper bound you can infer for the price of the call with strike 100?数理金融中等数值题未尝试面试订阅4546Call Subhedge Lower Bound 6European calls with strikes 90 and 110 trade at prices 14 and 5. What is the strongest model-free lower bound you can infer for the price of the call with strike 100 using monotonicity and static sub-hedging?数理金融中等数值题未尝试面试订阅4551Call Price Interval 11Calls with strikes 90 and 120 trade at 18 and 6. What no-arbitrage interval can you infer for the missing call price C(105) using static sub- and super-replication only?数理金融中等数值题未尝试面试订阅4556Super-Sub Scenario 16Why do super- and sub-replication naturally produce a price interval rather than a single point in an incomplete market?数理金融中等essay未尝试面试订阅4557Super-Sub Scenario 17Why does adding one more relevant traded strike usually tighten a model-free price interval?数理金融中等essay未尝试面试订阅4558Super-Sub Scenario 18Why can the interval collapse to a single price once the target payoff is exactly spanned?数理金融中等essay未尝试面试订阅4559Why Geometry HelpsIn a stock-and-cash market, why is affine geometry such a useful way to think about super-replication?数理金融中等essay未尝试面试订阅5861Risk-Neutral Probability From A Quoted CallIn a one-period binomial model the stock has S0=100 and goes to Su=130 or Sd=90, with risk-free rate 0. A call struck at K=100 trades at price 12. Back out the implied risk-neutral probability of the up state from this option quote.数理金融简单数值题未尝试面试订阅5862Arrow-Debreu Prices From Option QuotesA stock has three future states with prices 120, 100, and 80; the risk-free rate is 0. Calls struck at 80 trade at 28 and calls struck at 100 trade at 8. Using the digital/butterfly decomposition, find the Arrow-Debreu price of the single highest state (the state where the stock ends at 120).数理金融困难数值题未尝试面试订阅5863Spot The Arbitrage In A Price SetIn a one-period two-state world (states U and D) with risk-free rate 0, asset A pays 2,1 and trades at 1.4, asset B pays 1,3 and trades at 1.7. A bond paying 1,1 trades at 1. Do these three prices admit a strictly positive state-price vector, or is there an arbitrage? Report the state prices if they exist, otherwise state 'arbitrage'.数理金融中等数值题未尝试面试订阅5864Cheapest Dominating Portfolio CostCalls with strikes 80 and 100 trade at 22 and 8. You want a static portfolio of these two calls whose payoff dominates that of a strike-90 call in every terminal state. What is the minimum cost of such a dominating (super-replicating) portfolio?数理金融简单数值题未尝试面试订阅5865Digital Upper Bound from Call SpreadA cash-or-nothing digital call pays 1 if S T > 100 and 0 otherwise. Calls with strikes 95 and 100 trade at 9 and 6. Using a static call-spread super-hedge, what is the tightest model-free upper bound on the digital's price?数理金融中等数值题未尝试面试订阅5866Digital Lower Bound from Call SpreadA cash-or-nothing digital call pays 1 if S T > 100 and 0 otherwise. Calls with strikes 100 and 105 trade at 6 and 4. Using a static call-spread sub-hedge, what is the strongest model-free lower bound on the digital's price?数理金融中等数值题未尝试面试订阅