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Interview prep / Finance/Derivatives

Finance/Derivatives interview questions: page 2 of 6

Questions 51–100

  1. Replicating a payoff of the larger of 3S and 15Medium
  2. Value of a growing cash flow discounted at 10%Medium
  3. Pricing an absolute-distance payoff around 15Medium
  4. Payoff range of a long 5 short 10 call spreadEasy
  5. Group-stage contracts summing to more than twoHard
  6. Fair value of a call at 30 on two dice multipliedEasy
  7. Expected return of the zero-variance two-asset mixMedium
  8. Market on a spread of two quoted productsMedium
  9. Triangular currency arbitrage starting with 1000 USDEasy
  10. Vega of a short in-the-money call as spot fallsEasy
  11. Break-even for a call sellerEasy
  12. Expected payoff of a zero-strike straddle on a normalMedium
  13. No-arbitrage cap on a 20/24 put spreadMedium
  14. Shares needed to hedge 100 calls at 0.33 deltaEasy
  15. Put-call parity violation with zero ratesEasy
  16. Locking in profit on a three-horse raceEasy
  17. Mispriced calls at strikes 1000, 1010, 1020Easy
  18. Theta of a long OTM put as the stock risesMedium
  19. Quoting a market in the spread A minus BEasy
  20. Which ATM option has the most vegaEasy
  21. Option value recovered from its GreeksEasy
  22. Election contracts with a dominated Pennsylvania betMedium
  23. One-step three-branch tree for an at-the-money callEasy
  24. Gamma of a put given the matching call's gammaEasy
  25. Kelly fraction for a 75% even-money betEasy
  26. Replicating a floored multiple of the stockMedium
  27. Call value recovered from a put via parityEasy
  28. Quick estimate of an at-the-money straddleMedium
  29. Fixed-strike implied vol after the spot ralliesMedium
  30. Expiry values of four calls and putsEasy
  31. Futures versus forwards under stochastic ratesMedium
  32. Pricing and hedging a call when volatility is zeroEasy
  33. Does a shorter or longer option carry more gammaEasy
  34. Why capped puts and uncapped calls cost the sameMedium
  35. Shape of call delta across stock pricesEasy
  36. Delta of a one-year at-the-money call at 6% ratesMedium
  37. ATM call delta with a 3% dividend yieldMedium
  38. Adjusting a delta hedge after a sharp dropEasy
  39. Ways to obtain an option's deltaEasy
  40. Interpreting the two normal terms in Black-ScholesMedium
  41. Fixed-payout binary call and its link to vanillasMedium
  42. Sign of a binary option's sensitivity to volHard
  43. Delta of a down-and-out call against a vanillaHard
  44. Pricing an index call when variance does not scaleHard
  45. Time value of an American call across stock pricesMedium
  46. When jumps break the hedging argument for callsHard
  47. Call value plotted against spot, futures and expiry priceMedium
  48. Rescaling volatility when four years becomes one unitEasy
  49. At-the-money call when prices follow Bachelier dynamicsHard
  50. Ten-second price of a three-month ATM call and putEasy