题目4484 · 数理金融
No-Arbitrage Is Weaker Than Completeness
Why can a market be arbitrage-free and still leave some claims without a unique price?
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中文题目题目4466 · 数理金融
Risk-Neutral Probability And No-Arbitrage 1
In a one-period binomial model, S0=100, Su=120, Sd=90, and the simple risk-free rate is 0. Compute the risk-neutral probability of the up state, and state whether the no-arbitrage condition holds.
打开 →题目4467 · 数理金融
Risk-Neutral Probability And No-Arbitrage 2
In a one-period binomial model, S0=50, Su=65, Sd=45, and the simple risk-free rate is 0.05. Compute the risk-neutral probability of the up state, and state whether the no-arbitrage condition holds.
打开 →题目4476 · 数理金融
Convex-Hull No-Arbitrage Test 1
A one-period stock has S0=100, future states 118, 94, and 76, and risk-free rate 0. Use the discounted-price convex-hull test to decide whether an arbitrage-free pricing measure can exist.
打开 →题目4478 · 数理金融
Convex-Hull No-Arbitrage Test 3
A one-period stock has S0=80, future states 86, 82, and 70, and risk-free rate 0.02. Use the discounted-price convex-hull test to decide whether an arbitrage-free pricing measure can exist.
打开 →题目4716 · 数理金融
Admissible Higher-Strike Call Interval 1
A call with strike 80 trades at 25. Ignoring discounting and using only no-arbitrage monotonicity and slope bounds across strikes, what admissible price interval does that imply for the call with higher strike 90?
打开 →题目4718 · 数理金融
Admissible Higher-Strike Call Interval 3
A call with strike 100 trades at 10.5. Ignoring discounting and using only no-arbitrage monotonicity and slope bounds across strikes, what admissible price interval does that imply for the call with higher strike 110?
打开 →题目5256 · 金融与交易
Call Monotonicity 1
At the same maturity, calls are quoted as C(95)=7 and C(105)=5.8 with 105>95. Does this satisfy basic no-arbitrage monotonicity across strikes?
打开 →题目5257 · 金融与交易
Call Monotonicity 2
At the same maturity, calls are quoted as C(100)=6.2 and C(110)=6.4 with 110>100. Does this satisfy basic no-arbitrage monotonicity across strikes?
打开 →题目5260 · 金融与交易
Call Monotonicity 5
At the same maturity, calls are quoted as C(85)=7.8 and C(100)=5 with 100>85. Does this satisfy basic no-arbitrage monotonicity across strikes?
打开 →题目4551 · 数理金融
Call Price Interval 11
Calls 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?
打开 →题目5241 · 金融与交易
European Call Bounds 1
For a non-dividend-paying stock with spot 100, strike 95, annual rate 0.05, and maturity T=1, what are the basic no-arbitrage lower and upper bounds for a European call?
打开 →题目5242 · 金融与交易
European Call Bounds 2
For a non-dividend-paying stock with spot 90, strike 100, annual rate 0.04, and maturity T=0.5, what are the basic no-arbitrage lower and upper bounds for a European call?
打开 →题目5246 · 金融与交易
European Put Bounds 1
For spot 100, strike 95, annual rate 0.05, and maturity T=1, what are the basic no-arbitrage lower and upper bounds for a European put?
打开 →题目5247 · 金融与交易
European Put Bounds 2
For spot 90, strike 100, annual rate 0.04, and maturity T=0.5, what are the basic no-arbitrage lower and upper bounds for a European put?
打开 →题目5166 · 金融与交易
Fair Forward Price 1
A non-dividend-paying asset has spot price 100. If the annual funding rate is 0.04 and maturity is 1 years, what is the no-arbitrage forward price under annual compounding?
打开 →题目5167 · 金融与交易
Fair Forward Price 2
A non-dividend-paying asset has spot price 85. If the annual funding rate is 0.03 and maturity is 0.5 years, what is the no-arbitrage forward price under annual compounding?
打开 →题目2091 · 数理金融
Incomplete-Market Pricing Intuition 21
Why does a unique no-arbitrage price disappear as soon as the trinomial market has more states than traded securities?
打开 →题目2093 · 数理金融
Incomplete-Market Pricing Intuition 23
Why can a minimum-variance hedge still fail to pin down a unique no-arbitrage price?
打开 →题目2095 · 数理金融
Incomplete-Market Pricing Intuition 25
Why do indifference prices depend on risk aversion while no-arbitrage intervals do not?
打开 →题目4796 · 数理金融
Infer Integrated Volatility Mass In HJM 6
At one maturity bucket, the desk estimates the endpoint instantaneous forward volatility sigma(t,T)=0.015 and the HJM no-arbitrage drift alpha(t,T)=0.027. In the one-factor relation alpha(t,T)=sigma(t,T)*integral_t^T sigma(t,u) du, what value is implied for integral_t^T sigma(t,u
打开 →题目2071 · 数理金融
Price a Trinomial Claim After Market Completion 1
A one-period stock is 100 today and ends at 120, 100, or 80. The risk-free rate is 0. A quoted up-state digital that pays 1 only in the up state trades at 0.2, which completes the market. What unique no-arbitrage price does this imply for the claim paying 5, 1, and 0 in the up, m
打开 →题目5251 · 金融与交易
Vertical Spread Bound Check 1
Calls with strikes 95 and 105>95 are priced at 4.8 and 1.6. With annual rate 0.05 and maturity T=1, is the bull call spread price C(K1)-C(K2) inside its no-arbitrage bounds? Also report the bound interval.
打开 →题目5252 · 金融与交易
Vertical Spread Bound Check 2
Calls with strikes 100 and 110>100 are priced at 5.4 and 2.1. With annual rate 0.04 and maturity T=0.5, is the bull call spread price C(K1)-C(K2) inside its no-arbitrage bounds? Also report the bound interval.
打开 →题目5253 · 金融与交易
Vertical Spread Bound Check 3
Calls with strikes 80 and 90>80 are priced at 4 and 1.3. With annual rate 0.03 and maturity T=1.5, is the bull call spread price C(K1)-C(K2) inside its no-arbitrage bounds? Also report the bound interval.
打开 →题目5254 · 金融与交易
Vertical Spread Bound Check 4
Calls with strikes 110 and 120>110 are priced at 3.5 and 1. With annual rate 0.02 and maturity T=1, is the bull call spread price C(K1)-C(K2) inside its no-arbitrage bounds? Also report the bound interval.
打开 →题目5262 · 金融与交易
Why Bounds Are Broader Than Parity
Why are no-arbitrage bounds still useful even when you do not have a perfect parity identity available?
打开 →题目3913 · 金融与交易
Why CIP Breaks in Stressed Markets
If CIP is a no-arbitrage relation, why can markets still exhibit a persistent cross-currency basis?
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