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Interview prep / Finance/Derivatives

Finance/Derivatives interview questions: page 4 of 6

Questions 151–200

  1. Black-Scholes PDE and its limits in spotMedium
  2. Undergraduate-level Black-Scholes derivationMedium
  3. What the Black-Scholes PDE is telling youEasy
  4. Calls on assets with different drifts or jumpsMedium
  5. Pricing with volatility that varies over timeMedium
  6. Call struck on the squared stock priceHard
  7. Stock-weighted call payoff in Black-ScholesHard
  8. How a call's price curve evolves to expiryEasy
  9. When to exercise American calls and puts earlyMedium
  10. FX options as calls and puts at onceMedium
  11. Down-and-out versus down-and-in callMedium
  12. Statement and logic of put-call parityEasy
  13. Call price in the infinite-volatility limitEasy
  14. Touch-anytime versus at-expiry digital at 30Hard
  15. Monotonicity of a call price in maturityMedium
  16. Why a capped put can match an uncapped callMedium
  17. Digital prices under matched normal and lognormal modelsHard
  18. Comparing one-day risk of a call and its stockMedium
  19. Expected payoff of an at-the-money call with normal pricesMedium
  20. Implying sigma from an at-the-money price in a normal modelMedium
  21. One-period tree with up move to 110 and down to 80Easy
  22. Linking a vanilla call and a cash digitalEasy
  23. Forward price with one cash dividend mid-yearEasy
  24. Fair one-year forward for euro versus dollarEasy
  25. Volatility sensitivity of a digital struck at spotMedium
  26. Why mean reversion does not change option pricesMedium
  27. No-arbitrage bounds for a European callEasy
  28. Option on a forward priceMedium
  29. Showing a call price is convex in strikeMedium
  30. What traders and firms use options forEasy
  31. Flaw in hedging a call by buying above the strikeHard
  32. Paying one if spot ends between 100 and 110Medium
  33. Call spread payoff capped at 20Easy
  34. Idea behind pricing by replicationEasy
  35. Building a cash digital from vanilla optionsMedium
  36. Choosing between annual and daily volatility for hedgingMedium
  37. Static hedge for one over a clamped stock priceHard
  38. Ways to compute Greeks from a pricerMedium
  39. Call gamma as expiry approachesMedium
  40. Vega of a double no-touchMedium
  41. Vega at spot 100 versus spot 200Easy
  42. Making an options book insensitive to volatilityEasy
  43. Required precision of a pricing libraryEasy
  44. Making the case for a profitable trading modelEasy
  45. Binomial call with moves to 90 or 110Easy
  46. Call bounds in a three-outcome one-step modelMedium
  47. Why practitioners still use trinomial treesMedium
  48. Option prices when research favours one assetEasy
  49. Choosing Monte Carlo or a binomial treeEasy
  50. How Longstaff-Schwartz handles early exerciseHard