题目4009 · 金融与交易
Does Cliquet Care About Return Ordering
A cliquet sums capped-and-floored local returns. If two paths have the same set of period returns but in a different order, does this payoff change?
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中文题目题目4013 · 金融与交易
Why Cliquets Smooth Some Tail Moves
Why does a cliquet structure often feel less exposed to one huge up month than a plain terminal call on cumulative return?
打开 →模块1.4.5 · 金融与量化投资 · 衍生品
高级衍生品
derivatives · exotic-options · barrier-options · asian-options · lookback-options · cliquet · path-dependence · variance-swap
打开 →题目4010 · 金融与交易
Can a Later Selloff Undo a Locked-In Lookback Maximum
A fixed-strike lookback call has already observed a running maximum far above strike. Can a later selloff erase that locked-in intrinsic value?
打开 →题目4001 · 金融与交易
Clique/Reset Payoff 1
A cash-or-nothing call pays 25 at expiry. The discount factor is 0.98 and the option price is 6.125. What risk-neutral in-the-money probability is implied?
打开 →题目4002 · 金融与交易
Clique/Reset Payoff 2
A one-touch contract pays 3 immediately when an upper barrier is hit. Assume zero rates and the contract price is 0.72. What hit probability is implied?
打开 →题目4003 · 金融与交易
Clique/Reset Payoff 3
A cash-or-nothing call and a cash-or-nothing put with the same strike each pay 1 at expiry. Their prices are 0.42 and 0.53. What discount factor to expiry is implied by binary put-call parity?
打开 →题目4004 · 金融与交易
Clique/Reset Payoff 4
An asset-or-nothing call has zero rates and price 27. If the conditional expected stock price when in the money is 90, what risk-neutral in-the-money probability is implied?
打开 →题目4005 · 金融与交易
Clique/Reset Payoff 5
A digital corridor note pays 4 if S_T > K and 1 otherwise. Rates are zero and the risk-neutral probability of S_T > K is 0.35. What is the price?
打开 →题目4007 · 金融与交易
Fixed Lookback Call with Same Terminal Spot
Two fixed-strike lookback calls share the same strike and terminal spot. Path A reached a higher running maximum than Path B before expiry. Which call has the larger payoff?
打开 →题目4006 · 金融与交易
Floating Lookback Call with Same Final Spot
Two floating-strike lookback calls finish at the same terminal spot, but Path A had a lower running minimum than Path B. Which call has the larger payoff?
打开 →题目4012 · 金融与交易
Lookback versus Vanilla on Path Sensitivity
Why are lookback options usually more expensive than otherwise similar vanilla options?
打开 →题目4008 · 金融与交易
Which Payoff Jumps at the Strike
A note pays 2 if an upper barrier is ever hit; otherwise it pays the payoff of a floating-strike lookback call. The observed path is [100, 96, 103, 101] and the barrier is 105. What is the payoff?
打开 →题目4011 · 金融与交易
Why Digitals Are Hard to Hedge Near the Strike
Why are digital options hard to delta hedge when spot trades near the strike?
打开 →题目4014 · 金融与交易
Why Lookbacks Are Expensive
Why does increasing monitoring frequency generally raise the value of a floating lookback option?
打开 →课程高级衍生品 · 衍生品
利率、信用与结构化衍生品
Hook（开场场景）. 某资管公司多策略组合的固收风险经理，在月末复盘时盯着账上三笔头寸：（A）规模 5 亿元的 5 年期 FR007 利率互换（IRS），付固收浮，固定端 2.45%；（B）一笔参考某城投平台的 CRMW 1 亿元名义；（C）一只挂钩中证500 的 18 个月雪球结构化产品，由头部券商收益凭证渠道发出，规模 3 亿元，敲入线 75%、月...
打开 →课程高级衍生品 · 衍生品
奇异期权与路径依赖
周五下午三点，某 50ETF（510050）期权做市账户的交易员收到一条结构化销售台的内部消息：一家头部券商收益凭证团队，刚以 18 个月期限挂出了一只 8 亿元规模的雪球结构产品，挂钩中证500（CSI 500），敲入线在期初指数的 75%，月度敲出观察。这位交易员所在的私募 vol 台，与该券商签了一张场外（OTC）对冲协议，承接其中 4 亿元的"短下敲...
打开 →课程高级衍生品 · 衍生品
数值定价引擎:蒙特卡洛、有限差分与 FFT
Hook（开场场景）. 某头部券商衍生品定价团队的工程师周一早晨拿到了三张交易工单：（A）需要在 50ETF（510050）香草欧式期权（European option）链上做隔夜重估，行权价从 2.0 到 3.5，30 个 strike 网格，到期日覆盖未来 12 个月——目前由桌面 Excel 单独计算每只期权要 4 分钟才能跑完，桌面员工抱怨重估在...
打开 →课程高级衍生品 · 衍生品
方差与波动率衍生品
Hook（开场场景）. 某私募 vol 套利基金的基金经理在周一上午开盘前盯着两个数字：一个是中证 500 过去 60 个交易日的已实现年化波动率，21.3%；另一个是该基金通过头部券商签订的、未来 60 天到期的场外（OTC）方差互换（variance swap）含税公允方差点位 公式，对应的方差互换公允波动率约为 24.8%。中间 3.5 个 vol...
打开 →课程波动率 · 衍生品
局部波动率与随机波动率模型
周二早上 7:40，你坐在某家 私募 vol 自营桌前，盯着 SSE 50ETF 期权（510050）的隐含波动率（implied volatility, IV）曲面。昨夜风险系统已经把两套波动率模型校准好。第一套是 Dupire 局部波动率模型，确定性的 公式 能把所有 510050 vanilla 中间价复原到 0.5 vol 点之内——日间用于盯市与隔...
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