l*****y 发帖数: 56 | 1 只问了关于option pricing 的问题,感觉答得不好,说是半个小时的面试,但是持续
了近一个小时。。。
1. The price of a call option satisfying 90exp(-K/100), where K is the
strike price. The maturity is 1 year. What is the spot price of the stock?
Answer: 90.
Hint: what is upper bound of call option?
2. A tree model of an European type call option. Initially the stock price
and strike are both 90. The next value of the stock can only be 85 or 90
or
95. No dividend, interest rate. How to price the call? Is $3 a reasonable
price for this call?
我一上来就用risk neutral pricing, 得到$2.5, 对方说不对, 说这里用这个方法不
make sense. 我就没答上来。 后来算了一下,发现如果call>=2.5就会有arbitrage.
不知道怎么定价,还请高人指点。。。 |
P*****s 发帖数: 758 | |
s*******0 发帖数: 3461 | 3 第二题 你的那个方法 为什么不对?
同问
第一道题 能否解释一下? 感谢 |
D********n 发帖数: 978 | 4 第二题LZ硬套binomial tree, 但题目已经说了stock price有可能还是90.
这种情况下是无法给出确定的call price的。这个在连续的情况下一样,需要
volatility.
面试官的意思估计是让你给一个范围, 答案应该是0到2.5之间。3是不可能的,显然有
arbitrage.
【在 l*****y 的大作中提到】 : 只问了关于option pricing 的问题,感觉答得不好,说是半个小时的面试,但是持续 : 了近一个小时。。。 : 1. The price of a call option satisfying 90exp(-K/100), where K is the : strike price. The maturity is 1 year. What is the spot price of the stock? : Answer: 90. : Hint: what is upper bound of call option? : 2. A tree model of an European type call option. Initially the stock price : and strike are both 90. The next value of the stock can only be 85 or 90 : or : 95. No dividend, interest rate. How to price the call? Is $3 a reasonable
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l*****y 发帖数: 56 | 5 高人,太精辟了, 谢谢!
【在 D********n 的大作中提到】 : 第二题LZ硬套binomial tree, 但题目已经说了stock price有可能还是90. : 这种情况下是无法给出确定的call price的。这个在连续的情况下一样,需要 : volatility. : 面试官的意思估计是让你给一个范围, 答案应该是0到2.5之间。3是不可能的,显然有 : arbitrage.
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l*****y 发帖数: 56 | 6 是通过学校career service 投的,应该是full-time
【在 P*****s 的大作中提到】 : LZ投的full-time? : 网上的职位?
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l*****y 发帖数: 56 | 7 第二问前面有朋友解释了,第一问只要当K=0的时候C会取到最大值。
【在 s*******0 的大作中提到】 : 第二题 你的那个方法 为什么不对? : 同问 : 第一道题 能否解释一下? 感谢
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s*******0 发帖数: 3461 | 8 thanks
【在 l*****y 的大作中提到】 : 第二问前面有朋友解释了,第一问只要当K=0的时候C会取到最大值。
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x*****i 发帖数: 287 | 9 第二题难道不是trinomial model?
第一题能否再解释下?为啥spot price 是K=0 时候的?
Thanks |
R**T 发帖数: 784 | 10 the second question is discussed in Mark Joshi's book
in this trinomial case the risk neutral measure is not unique
the call does not have an unique price
the probability of an upward move can sit anywhere between 0 to 0.5
so the price should be in the 0 to 2.5 range
Thank you for posting the questions!
【在 l*****y 的大作中提到】 : 只问了关于option pricing 的问题,感觉答得不好,说是半个小时的面试,但是持续 : 了近一个小时。。。 : 1. The price of a call option satisfying 90exp(-K/100), where K is the : strike price. The maturity is 1 year. What is the spot price of the stock? : Answer: 90. : Hint: what is upper bound of call option? : 2. A tree model of an European type call option. Initially the stock price : and strike are both 90. The next value of the stock can only be 85 or 90 : or : 95. No dividend, interest rate. How to price the call? Is $3 a reasonable
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R**T 发帖数: 784 | 11 K=0 means at expiration the owner of the call can have a stock for nothing
the only way to cover it for the sell-side is to buy the stock now, using
the premium from the option
【在 x*****i 的大作中提到】 : 第二题难道不是trinomial model? : 第一题能否再解释下?为啥spot price 是K=0 时候的? : Thanks
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z****t 发帖数: 78 | 12 Which quant group in Bloomberg is this? If these are the toughest questions,
I will try :) |
l*****y 发帖数: 56 | 13 It is the first round phone interview from Bruno Dupire's team.
questions,
【在 z****t 的大作中提到】 : Which quant group in Bloomberg is this? If these are the toughest questions, : I will try :)
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l********k 发帖数: 68 | 14 These are really common things.
Are you a PHD student? |
L**********u 发帖数: 194 | 15
K 趋向于0,则 call price=stock price。
therefore S0=90.
这个显然是一个non-complete market。 risk-neutral measures不唯一。
两个变量一个线性方程。
【在 l*****y 的大作中提到】 : 只问了关于option pricing 的问题,感觉答得不好,说是半个小时的面试,但是持续 : 了近一个小时。。。 : 1. The price of a call option satisfying 90exp(-K/100), where K is the : strike price. The maturity is 1 year. What is the spot price of the stock? : Answer: 90. : Hint: what is upper bound of call option? : 2. A tree model of an European type call option. Initially the stock price : and strike are both 90. The next value of the stock can only be 85 or 90 : or : 95. No dividend, interest rate. How to price the call? Is $3 a reasonable
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L**********u 发帖数: 194 | 16 nnd, 我也申了这个position,确没有任何回音。
【在 l*****y 的大作中提到】 : 只问了关于option pricing 的问题,感觉答得不好,说是半个小时的面试,但是持续 : 了近一个小时。。。 : 1. The price of a call option satisfying 90exp(-K/100), where K is the : strike price. The maturity is 1 year. What is the spot price of the stock? : Answer: 90. : Hint: what is upper bound of call option? : 2. A tree model of an European type call option. Initially the stock price : and strike are both 90. The next value of the stock can only be 85 or 90 : or : 95. No dividend, interest rate. How to price the call? Is $3 a reasonable
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f********r 发帖数: 408 | 17 能同时申请这个和developer 两个职位吗? |
z****t 发帖数: 78 | 18 应该没问题,听说quant被拒自动给你转到R&D
【在 f********r 的大作中提到】 : 能同时申请这个和developer 两个职位吗?
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z****t 发帖数: 78 | 19 应该没问题,听说quant被拒自动给你转到R&D
【在 f********r 的大作中提到】 : 能同时申请这个和developer 两个职位吗?
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l*******1 发帖数: 113 | 20 for 1,
this exploits the relationship that
when k=0 c=max(s-k,0) = max(s,0)=s
so plug in, you will get s= 90 |
f********r 发帖数: 408 | 21 那太好了
【在 z****t 的大作中提到】 : 应该没问题,听说quant被拒自动给你转到R&D
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