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| # | Name | Tags | Difficulty | Solved by | |
|---|---|---|---|---|---|
| ✓ | gb_ch06_q001 | Price direction of options Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q002 | Put-call parity (European) Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q003 | American vs European calls Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q004 | Put arbitrage (strikes 80 and 90) Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q005 | Black-Scholes-Merton differential equation Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q006 | Assumptions behind Black-Scholes Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q007 | Derive Black-Scholes via risk-neutral expectation Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q008 | Derive Black-Scholes by solving the PDE Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q009 | Cash-or-nothing call at stock-price barrier Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q010 | Value of 1/S at maturity Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q011 | Delta of European call (non-dividend stock) Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q012 | Delta of at-the-money call Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q013 | Dynamic delta hedging Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q014 | Estimate ATM call value (Brenner-Subrahmanyam) Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q015 | Gamma of an at-the-money option near maturity Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q016 | When does a European option have positive theta? Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q017 | Delta-hedged call: gamma vs theta Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q018 | Implied volatility and volatility smile Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q019 | Constant vs random volatility — which call is more expensive? Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q020 | Risk-neutral density from option prices Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q021 | Bull call spread — price boundaries Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q022 | Straddle Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q023 | Binary (cash-or-nothing) option pricing Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q024 | Exchange option (Margrabe formula) Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q025 | Portfolio optimization (two stocks) Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q026 | Value at risk (VaR) Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q027 | Duration and convexity Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q028 | Inverse floater pricing Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q029 | Forward vs futures contracts Green Book · Ch 6 · Finance | x0 | ||
| ✓ | gb_ch06_q030 | Interest rate models Green Book · Ch 6 · Finance | x0 |