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中文题目A hedged option book expects to earn 60 of frictionless gamma/theta edge over the month. It will rebalance 40 times, with average absolute share turnover 120 shares per rebalance. What is the maximum per-share transaction cost that still leaves nonnegative expected net hedging P&
打开 →A hedged option book expects to earn 37.5 of frictionless gamma/theta edge over the month. It will rebalance 25 times, with average absolute share turnover 200 shares per rebalance. What is the maximum per-share transaction cost that still leaves nonnegative expected net hedging
打开 →Why is it wrong to treat trading costs as a fixed deduction after the predictive model has already been validated?
打开 →If you hedge more frequently, what usually happens to diffusion-style replication error and what usually happens to transaction costs?
打开 →Before concluding that transaction costs dominate the hedge result, what unit check should you do first?
打开 →If transaction costs rise materially, what usually happens to the appeal of slower-moving signals in the blend?
打开 →Why is a convex acceptance set operationally useful when two desks ask whether they can partially blend books without blowing up capital?
打开 →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 →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 →The stock is 100 today and ends at 120, 100, or 80 next period. Consider a claim paying 20, 10, and 0 in those three states. Can it be replicated exactly using only the stock and cash? If yes, give the hedge. If not, identify the replication obstruction.
打开 →Why is a single firm-wide VaR or ES number not enough for desk incentives unless it is broken into component contributions?
打开 →A trading sleeve has realized return 12% and market beta 1.4. The risk committee wants the reported beta reduced to exactly 1.0 by parking the rest of the capital in T-bills earning 2%. If the market returned 8%, what alpha will the combined position report relative to CAPM?
打开 →A signal is expected to decay within the next 20 minutes, and waiting is more expensive than crossing a bit more spread now. Should the schedule become more or less front-loaded?
打开 →A stock returns 1.8% while the benchmark returns 0.9%. If the stock beta is 1.1 and the risk-free rate is negligible over the horizon, what single-period alpha do you attribute to the stock?
打开 →Price an American put with strike 100 on a two-step tree: spot=100, u=1.2, d=0.8, r=0.03, Δt=1. Give the time-0 value and state whether early exercise occurs at the first down node.
打开 →An annually compounded rate of 0.06 is given. What continuously compounded rate produces the same one-year discount factor?
打开 →Current variance is v0 = 0.04, long-run mean is theta = 0.09, mean-reversion speed is kappa = 2, and horizon is T = 0.5. What expected forward variance E[v_T] and annualized volatility sqrt(E[v_T]) does the model imply?
打开 →A trader observes that the options market is pricing a 1.2% one-day one-sigma move. Using 252 trading days and sigma_ann = daily_move·sqrt(252), what annualized implied volatility does this imply, to four decimals?
打开 →A portfolio manager plans two trades and uses a local Euler approximation for total VaR. She sells 0.30 of a crowded factor sleeve whose marginal VaR is 0.26 per unit weight, and buys 0.20 of a hedge sleeve whose marginal VaR is -0.10 per unit weight. What is the approximate chan
打开 →Spot is 100, maturity is 1 years, and the funding rate is 0.03. The quoted forward price is 104. Assuming no income and no frictions, which arbitrage direction is indicated, and what is the mispricing per unit relative to fair value?
打开 →Spot is 90, maturity is 0.5 years, and the funding rate is 0.04. The quoted forward price is 91. Assuming no income and no frictions, which arbitrage direction is indicated, and what is the mispricing per unit relative to fair value?
打开 →A 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
打开 →A simulated path for an arithmetic-average Asian call is [95, 92, 90, 97] with strike 94. What payoff does this single path contribute to the Monte Carlo estimator?
打开 →Before blaming every option-pricing error on volatility misspecification, what should you ask first?
打开 →If jump risk becomes larger while diffusive volatility is unchanged, what happens to the credibility of a pure Black-Scholes delta hedge?
打开 →If vol-of-vol rises materially, what usually happens to the plausibility of a single constant-volatility Black-Scholes description?
打开 →If market liquidity deteriorates sharply, which Black-Scholes assumption becomes more dangerous to ignore?
打开 →Why can longer-dated options expose Black-Scholes assumption failures more visibly than very short-dated options?
打开 →Before using a gamma-PnL approximation, what should you check first about the hedge interval?
打开 →Before explaining an implied-vol skew by jumps, what should you distinguish first?
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