I have seen this interview question mentioned in a couple of places: There are three call options on the market, with the same expiry and with strikes 10, 20, and 30. Suppose the call option with ...
From comments, the maximum principle for parabolic PDE can be used to show that the European call option delta cannot be greater than 1. I am looking forward to such derivations.
In order to solve an exercise, I need data from real European Call Options (on the same underlying). It sounds definitely trivial, but actually I feel a bit lost...do you mind giving a link/suggestion ...
In the Black-Scholes' setting, the delta hedge ratio of a European call option is given by $N(d_1)$, which is an increasing function of the underlying equity spot $S_0$. Does this property hold ...
If the value of an option at Maturity is what is the off-setting position you take for X and Y, if you are i)Long Call of the option ii)Short Call of the option iii)Long Put of the option iv)Short ...
What is the price C of a European call option on a dividend paying stock? I believe it is: C = U. N(d1) - exp(-rt).K.N(d2) d1 = [ ln(U/K) + (r + v^2/2).t ]/[ v.sqrt(t) ] d2 = d1 - v.sqrt(t) U ...