x*********u
发帖数: 66 | 1 1.For the same stock, the price of call option with strike price $10 is $5.
the price of put option with strike price $12 is $4. The price of call
option with strike price $14 is $3. Is there any arbitrage?
2. There is a sever and finite number of computers. Each computer contains a
data set. The data set may overlap each other. How to find a median of the
whole large data set?
Any idea? |
d*j
发帖数: 13780 | |
g****y
发帖数: 71 | 3 1. should depend on the spot price i guess.
don't know about 2. |
s********7
发帖数: 52 | |
J*****n
发帖数: 4859 | 5
第一个无法用butterfly的,因为中间那个是Put price，你不知道是否over or under
priced.
【在 s********7 的大作中提到】
: 1 butterfly
: 2 hashtable
|
z*********r
发帖数: 298 | 6 Sell those two calls and puts, when the price is between 8 to 16 you have an
earning |
J*****n
发帖数: 4859 | 7
an
你这不叫arbitrage。
【在 z*********r 的大作中提到】
: Sell those two calls and puts, when the price is between 8 to 16 you have an
: earning
|
z*********r
发帖数: 298 | 8 Sorry, should be Buy those call and puts and enjoy an arbitrage of $2
an
【在 z*********r 的大作中提到】
: Sell those two calls and puts, when the price is between 8 to 16 you have an
: earning
|
J*****n
发帖数: 4859 | 9
也不对
你全买，花了12块（5+4+3）,假如你的股票价格停留在12块的话，你只有strike 10的
期权赚两块，最后你还亏10块。
【在 z*********r 的大作中提到】
: Sorry, should be Buy those call and puts and enjoy an arbitrage of $2
:
: an
|
z*********r
发帖数: 298 | |
|
|
J*****n
发帖数: 4859 | 11
你怎么算的？
【在 z*********r 的大作中提到】
: 股票的价格是6快，你算一下就出来了
|
z*********r
发帖数: 298 | |
J*****n
发帖数: 4859 | 13
连strike都不一样，怎么用put call parity?
【在 z*********r 的大作中提到】
: 用Put Call Parity
|
z*********r
发帖数: 298 | 14 我Assume两个Call和起来的Strike是12 |
m*****n
发帖数: 3575 | 15 short two puts
buy both calls
short two futures
the set up cost is 0
there is a positive bump between 10 and 14, 0 otherwise |
a**m
发帖数: 102 | 16 what's the futures price you assume?
【在 m*****n 的大作中提到】
: short two puts
: buy both calls
: short two futures
: the set up cost is 0
: there is a positive bump between 10 and 14, 0 otherwise
|
d*j
发帖数: 13780 | 17 有道理啊，short stock 起码要知道现在的 stock price
【在 a**m 的大作中提到】
: what's the futures price you assume?
|
d*j
发帖数: 13780 | 18 1.For the same stock, the price of call option with strike price $10 is $5.
the price of put option with strike price $12 is $4.
光看这个就知道不合理了
call 10$ strike at 5$, 说明股票价格 15$ 左右
put 12$ at 4$ 说明股票价格 8$ 左右， 呵呵
.
a
the
【在 x*********u 的大作中提到】
: 1.For the same stock, the price of call option with strike price $10 is $5.
: the price of put option with strike price $12 is $4. The price of call
: option with strike price $14 is $3. Is there any arbitrage?
: 2. There is a sever and finite number of computers. Each computer contains a
: data set. The data set may overlap each other. How to find a median of the
: whole large data set?
: Any idea?
|
s*****y
发帖数: 33 | 19 I think it depends on moneyness. consider the price curve of call options.
it is convex, so call(12)<4=put(12). c-p<0 there is arbitrage if s>e{-rT}*
K
.
a
the
【在 x*********u 的大作中提到】
: 1.For the same stock, the price of call option with strike price $10 is $5.
: the price of put option with strike price $12 is $4. The price of call
: option with strike price $14 is $3. Is there any arbitrage?
: 2. There is a sever and finite number of computers. Each computer contains a
: data set. The data set may overlap each other. How to find a median of the
: whole large data set?
: Any idea?
|
x*********u
发帖数: 66 | 20 Buy all of them. Call option has unlimited profit and limited loss. Put
option has also limited loss. So if two call options are deep in the money,
there exists a positive profit. That means if stock price is bigger than $18
, you earn more than $12,which can cover your initial cost $12. Am I right?
【在 J*****n 的大作中提到】
:
: 连strike都不一样，怎么用put call parity?
|
|
|
m*****n
发帖数: 3575 | 21 It's irrelavent, just choose the future that cost you 0, Sexp(rt)
【在 a**m 的大作中提到】
: what's the futures price you assume?
|
m*****n
发帖数: 3575 | 22 哎，我这么水平高的人都留不下！！！
你们几个要是还不懂，画个图就懂了。 |
w*****e
发帖数: 197 | 23 You are really good. I can see how to use the strike 10 and 14
calls to replicate 2 strike 12 calls. But I did not realize
that gave me exactly the arb I needed. Thanks a lot!
【在 m*****n 的大作中提到】
: short two puts
: buy both calls
: short two futures
: the set up cost is 0
: there is a positive bump between 10 and 14, 0 otherwise
|
s*******1
发帖数: 20 | 24 I guess you S is S_0. Could you explain what happens when S_T<10 for your
portfolio? Thanks.
【在 m*****n 的大作中提到】
: It's irrelavent, just choose the future that cost you 0, Sexp(rt)
|
m*****n
发帖数: 3575 | 25 I am sorry for the mistake made in the previous post.
Actually the arbitrage needs a condition that future quote is 12 NOW.
Thus, the butterfly can sit on x horizon in the future.
If price falls below 10, both calls are abandoned.2 Puts are exercised that
you need to pay 2*12 dollars for the stocks. And these stocks should be sold
to redeem the two futures short.The cash inflow from this sell is 2F, which
is 24 is F was 12 in t=0.
If price goes between 10 and 12, two puts cancells two futures if |
m*****n
发帖数: 3575 | 26 The arbitrage holds if the future 12 is priced at 0 today.
Sexp(rt)=12. |
a**m
发帖数: 102 | 27 So you need this assumption anyway, although this is something interviewer
did not provide...
【在 m*****n 的大作中提到】
: The arbitrage holds if the future 12 is priced at 0 today.
: Sexp(rt)=12.
|
