p**********9
发帖数: 101 | 1 1.IBM is 10% of an index, the delta of the index is $100M, the gamma is $10M
, and the vega is $1M. What's the delta, gamma and vega of IBM?
2.100 coins, 1 has 2 heads, the others are fair. If you pick one coin and
flip it 100 times and get 100 heads, what's the probability that it's the 2
headed coin?
3.Assume you have a fair coin. How many flips on average does it take to
get two heads in a row. This I answered without any problem and no help.
anyone know the answers?
I am totally confused |
d*j
发帖数: 13780 | 2 differential operator is linear
10M
2
【在 p**********9 的大作中提到】
: 1.IBM is 10% of an index, the delta of the index is $100M, the gamma is $10M
: , and the vega is $1M. What's the delta, gamma and vega of IBM?
: 2.100 coins, 1 has 2 heads, the others are fair. If you pick one coin and
: flip it 100 times and get 100 heads, what's the probability that it's the 2
: headed coin?
: 3.Assume you have a fair coin. How many flips on average does it take to
: get two heads in a row. This I answered without any problem and no help.
: anyone know the answers?
: I am totally confused
|
p*******t
发帖数: 213 | 3 1， if no trap, delta = 10m, gamma = 0.1 m, vega = 0.1m. just partial
derivative.
2. bayes you should be able to get it.
E( I/B) = P( I AND b) /p(b) = 0.99/( 0.01 + 0.99* (0.5)^100). |
c**********e
发帖数: 2007 | 4
The numerator is 0.01. The denominator is correct.
【在 p*******t 的大作中提到】
: 1， if no trap, delta = 10m, gamma = 0.1 m, vega = 0.1m. just partial
: derivative.
: 2. bayes you should be able to get it.
: E( I/B) = P( I AND b) /p(b) = 0.99/( 0.01 + 0.99* (0.5)^100).
|
k*******d
发帖数: 1340 | 5 I agree with 楼上
1/ (99*(0.5)^100+1) |
p**********9
发帖数: 101 | 6 I forget there is one more question.
4. Suppose you have a plane with an infinite number of lines spaced L apart.
Suppose you drop a needle length D < L on the plane. What is the
probability you intersect a line. |
p**********9
发帖数: 101 | 7 5. The problem was to determine how many trailing 0s there are at the end of
100! |
p**********9
发帖数: 101 | 8
May I ask where can I find some reference explaining question 1.
Partial derivative equation.
【在 p*******t 的大作中提到】
: 1， if no trap, delta = 10m, gamma = 0.1 m, vega = 0.1m. just partial
: derivative.
: 2. bayes you should be able to get it.
: E( I/B) = P( I AND b) /p(b) = 0.99/( 0.01 + 0.99* (0.5)^100).
|
p**********9
发帖数: 101 | 9 6. You have a binary call option for a stock, S = 100 with strike of 120, r=
0, vol = 20% T=1 What's the value of the binary? |
p**********9
发帖数: 101 | 10 The question 6 they ask for intuitive way to solve it. |
s*******u
发帖数: 35 | 11 \int_{0}^{D/2}arccos(2x/D)*2/\pi*D/L dx=2/pi *D/L
apart.
【在 p**********9 的大作中提到】
: I forget there is one more question.
: 4. Suppose you have a plane with an infinite number of lines spaced L apart.
: Suppose you drop a needle length D < L on the plane. What is the
: probability you intersect a line.
|
s*******u
发帖数: 35 | 12 No deterministic answer, I guess. Too few conditions to determine risk-
neutral measure and price movements.
120, r=
【在 p**********9 的大作中提到】
: 6. You have a binary call option for a stock, S = 100 with strike of 120, r=
: 0, vol = 20% T=1 What's the value of the binary?
|
p**********9
发帖数: 101 | 13
For the first question why gamma is 0.1. Not 1 m?
【在 p*******t 的大作中提到】
: 1， if no trap, delta = 10m, gamma = 0.1 m, vega = 0.1m. just partial
: derivative.
: 2. bayes you should be able to get it.
: E( I/B) = P( I AND b) /p(b) = 0.99/( 0.01 + 0.99* (0.5)^100).
|
w*****e
发帖数: 197 | 14 It is money Gamma.
So it is actually V^2 * d^2V/dx^2
The second term is not changed, but the money
amount is scaled back by 0.01, so ...
【在 p**********9 的大作中提到】
:
: For the first question why gamma is 0.1. Not 1 m?
|
