第 4 / 6 页
非代码面试题
显示 20 / 105 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
4722Butterfly Repair Or Ceiling 7For equally spaced strikes 80, 100, 120, call prices at the wings are C(80)=26 and C(120)=7. What is the largest arbitrage-free value the middle call C(100) can take under butterfly convexity?数理金融中等数值题未尝试面试订阅4723Butterfly Repair Or Ceiling 8For equally spaced strikes 95, 100, 105, calls trade at 14, 12.5, and 10. By how much must the middle call price be reduced to remove the butterfly arbitrage?数理金融中等数值题未尝试面试订阅4724Butterfly Repair Or Ceiling 9For equally spaced strikes 85, 95, 105, calls trade at 20, 14.8, and 10.5. How much could the middle call price rise before butterfly convexity is first violated?数理金融中等数值题未尝试面试订阅4725Butterfly Repair Or Ceiling 10For equally spaced strikes 100, 110, 120, calls trade at 11.5, 8.4, and 5.8. How much could the middle call price rise before butterfly convexity is first violated?数理金融中等数值题未尝试面试订阅4731Surface Arbitrage Scenario 16Why is butterfly arbitrage usually interpreted as a sign of a negative implied density somewhere?数理金融中等essay未尝试面试订阅4732Surface Arbitrage Scenario 17Why do desks clean or smooth option surfaces before using them in local-vol or risk systems?数理金融中等essay未尝试面试订阅4733Surface Arbitrage Scenario 18Why is a surface being static-arbitrage-free still not enough to guarantee realistic smile dynamics?数理金融中等essay未尝试面试订阅4734Surface Arbitrage Scenario 19If you detect a tiny local butterfly violation caused by noisy quotes, what is usually the first practical response?数理金融中等essay未尝试面试订阅4735Surface Arbitrage First Step 20Before fitting a model to an implied-vol surface, what should you inspect first?数理金融中等essay未尝试面试订阅5011Static Replication Intuition 21Why does the classic static-replication formula for a variance swap involve a strip of OTM options and a log-contract identity?金融与交易困难essay未尝试面试订阅5012Jump-Risk Intuition 22Why can discrete jumps make the simple diffusion-based variance-swap replication less exact?金融与交易困难essay未尝试面试订阅5221Implied Present Value of DividendsA stock trades at 102. A European call is worth 9, the matching put is worth 5, and the discounted strike is 95. What present value of dividends is implied by put-call parity?金融与交易中等数值题未尝试面试订阅5222Implied Dividend Present Value 2Spot is 104, the call price is 9, the put price is 6, and the discounted strike is 96. What present value of dividends is implied?金融与交易中等数值题未尝试面试订阅5223Missing Call With Known Dividend Present ValueA stock is at 104, the matching put is worth 4, the discounted strike is 92, and the present value of dividends is 6. What call price is consistent with put-call parity?金融与交易中等数值题未尝试面试订阅5224Prepaid Forward From Option QuotesA call is worth 8, the matching put is worth 6, and the discounted strike is 94. What prepaid forward price is implied?金融与交易中等数值题未尝试面试订阅5225Reverse Conversion Arbitrage Cash TodayA stock is at 100, a call is worth 9, a matching put is worth 7, and the discounted strike is 96. If you run the reverse conversion (short stock, long call, short put, and invest the discounted strike), how much cash do you lock in today?金融与交易中等数值题未尝试面试订阅5232Fair Price of a Box SpreadA 1-year box spread uses strikes 100 and 110. If the 1-year discount factor is 0.95, what is the fair box price today?金融与交易中等数值题未尝试面试订阅5233Financing Rate Implied by a Box PriceA 1-year box spread with strike difference 12 trades today for 11.4. What simple annual financing rate is implied by that box price?金融与交易中等数值题未尝试面试订阅5234Synthetic Bond Value From Stock and OptionsA stock is at 103, a matching put is worth 6, and the matching call is worth 13. What is the present value of the synthetic bond S + P - C implied by parity?金融与交易中等数值题未尝试面试订阅5236Why European MattersWhy does the clean put-call parity identity rely on European exercise rather than American exercise?金融与交易困难essay未尝试面试订阅