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Markets & trading
Options Pricing
Black-Scholes, parity, arbitrage bounds
Overview
About options pricing questions in quant interviews
Black-Scholes intuition, put-call parity, arbitrage bounds, and the pricing questions options desks ask before they ever let you near a vol surface.
How to study this topic
A path that works
- 1
Start with the easy set
Warm up with the 8 easy options pricing questions. Quick wins build pattern recognition before complexity ramps.
- 2
Drill the medium tier next
26 medium questions sit in the sweet spot where most interview questions cluster. Time yourself, then redo any you missed two days later.
- 3
Stress-test on hard problems
20 hard questions simulate the on-site round. Skip looking at solutions for at least 20 minutes, then write up your approach.
The library
All 54 options pricing questions
easyGarman-Kohlhagen FX Option PriceeasyMacaulay and Modified DurationeasyHull-White Bond PriceeasyBachelier Option PriceeasyBlack-Scholes Put Option PriceeasyPut-Call Parity ArbitragemediumOption Theta CalculationmediumVasicek Zero-Coupon Bond PricemediumAsian Option Pricing via Monte CarlomediumCRR Binomial Tree European Option PricingmediumYield to Maturity via Newton-RaphsonmediumHeston Model Monte Carlo PricermediumBlack-Scholes Delta, Gamma, and VegamediumMargrabe's Exchange OptionmediumNelson-Siegel Yield Curve FitmediumImplied Volatility via BisectionmediumOption Rho CalculationmediumBlack-Scholes Delta Hedge P&LmediumCIR Zero-Coupon Bond PricehardMerton Credit SpreadhardDown-and-Out Call OptionhardHeston Stochastic Volatility Call PriceeasyCollar Strategy Profit/LosseasyStraddle vs. Strangle TradeoffmediumVolatility Surface ShapesmediumRatio Spread PayoffmediumEquity Volatility SkewmediumTheta vs Gamma TradeoffmediumDiscrete Dividend and Option PricesmediumVolatility vs. Variance Swap Fair StrikemediumBarrier Option ParitymediumLookback Call vs. Vanilla CallmediumPin Risk at ExpirymediumPortfolio Aggregate Delta CalculationmediumRisk Reversal PayoffmediumOne-Step Binomial Model: Risk-Neutral ProbabilitymediumIron Condor Breakeven PointshardStochastic Volatility vs. Local VolatilityhardGamma Time Decay and Overnight RiskhardChooser Option ValuationhardGamma Scalping AdjustmenthardBinary Option Delta at ExpiryhardVanna: The Cross-GreekhardVolga: Second-Order Vol SensitivityhardCharm and Delta Hedging over WeekendshardUnderstanding Speed in Options PricinghardDupire's Local Volatility FormulahardVariance Swap Fair Strike and Implied Volatility SurfacehardPut-Call Parity ArbitragehardBox Spread Arbitrage ValuehardBlack's Model Spot Price ReplacementhardQuanto Option PricinghardAmerican Put Early ExercisehardCompound Option Exercise Decisions
View all 54 options pricing questionsRelated topics