You have a call option on a security worth 100 now that will either be worth 110 or 95 dollars at a future date. The strike of this option is 105. What is an estimated value of this call option?
Arbitrage Interview Questions
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What's the probability of getting 2 tails before 3 heads?
What is the covariance of x-y and x+y, given that x and y are IID.
About my background, why I was considering their company, etc. There are 20 red balls, 30 green balls, 10% of the red balls have candies inside, 20% of the green ones have candies inside. Given that you picked a ball and it has candy, what is the probability that its green? How does the duration of a bond change with changes in the interest rate? How does volatility affect the delta of an option?
What's the rho of European call and put option?
Suppose you have bought a July ITM call and sold an August ATM put. What would be your delta in this position? Once you hedged out your delta what are the following greeks: -Gamma -Vega -Rho -Theta
A guy goes to the store with just enough money for 30 balloons. When he arrives, he discovers there is a massive balloon sale: buy 1 at regular price, get the second for 2/3 regular price. How many balloons can the guy buy?
There are 100 unique cards labeled 1 through 100 that are shuffled. You are dealt 4 random cards. The bet: you get $50 if you can turn over the cards in ascending order. You have to pay $2 if you cannot. Do you take the bet?
2 calls are ATM, on the same underlying. one expires in June, the other in August. Which one has the greater Gamma?
You throw a rock into a pond and the ripple expands as a perfect circle at 3cm/second. At what rate is the area of the circle expanding at 10 seconds?
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