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 →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?
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