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Options Interview Questions

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Options Interview Questions

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Derive Black-Scholes option pricing equation.

2 Answers

Use martingale approach to discount the final payoff of the option by the discount factor to any time t before expiry. Use the GBM equation for stock price and transform the integral to the desired form.

http://en.wikipedia.org/wiki/Black%E2%80%93Scholes

How many Barbers are there in Chicago ?

2 Answers

How to sell an "equity option" if there are no long positions of the underlyer or the option itself ?

1 Answer

What is the value of a rainbow of two items that are perfectly correlated? How do the two underlyings behave?

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