Finite Difference Delta Calculation - Quant Researcher Interview Question
Difficulty: Medium
Category: derivatives
Asked at: Bloomberg, BNP Paribas, Citadel, Two Sigma, Morgan Stanley, JPMorgan, Goldman Sachs
Topics: options, greeks, numerical-methods, finite-difference, black-scholes
Problem Description
The Finite Difference Method (FDM) is a numerical technique used in quantitative finance to approximate derivatives (Greeks) when analytical formulas are computationally expensive or unavailable. By perturbing the underlying asset price and observing the resulting change in option value, this method estimates sensitivities such as Delta, which measures the rate of change of the option price with respect to the underlying asset. This approach is essential for pricing complex derivatives and manag
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