面试进行中：投行技术面试

期的上海综合指数行使价在 3000点的欧式看涨期权。我们一起来算一下价格。今天上证指数是多少）”

沪市从去年下半年开始猛涨，班上有好几个同学都从家里拿了钱，开始炒股，晓兮虽然没有钱去投资股票，但是她也密切关注股市，她马上回答道：“Around 2700.（大概2700）”

Johnny继续问道：“What is the risk free interest rate?（无风险利率多少）”

晓兮前几天刚读过关于上海银行业同业拆放利率从一月四号开始运行的新闻，这个她很有自信，她说道：“3M shibor is about 2.8%. we can use that.（3M shibor约为2.8%。我们可以使用它）”

Johnny紧接着问道：“Can you explain what is shibor?（你能解释一下什么是shibor吗）”

“Shibor is Shanghai interbank offering rate. It is the average of the interest rates that each bank needs to pay if they want to borrow from another bank.（Shibor为上海银行间同业拆借利率。它是每家银行要从另一家银行借款需要支付的利率的平均值）”

Johnny继续问道：“Why do you think the government spends all the efforts? Why do we need Shibor?（您认为政府为什么要弄出这么一个东西呢？为什么我们需要Shibor）”

这个也在新闻报道里面有，晓兮记得很清楚:“ Because a lot of fixed income products need a reference rate for pricing. For example， in US， most of the fixed income products， such as interest rate options， mortgage securities， are indexed to LIBOR.（因为很多固定收益产品需要一个参考利率来定价。例如，在美国，大多数固定收益产品，如利率期权、抵押贷款证券，都与 LIBOR挂钩）”

Johnny继续问道：“Now we only need volatility. If we compare the volatility of Shanghai composite and SP500， which one is higher and why is that?（现在我们只需要波动率。如果我们比较上证综指和标普500的波动率，哪个更高，为什么？）”

晓兮想了一想，答道：“SP500 should have a lower volatility. If we compare the market cap， the stocks in SP500 have a larger market cap than those in Shanghai. Large cap stocks have less volatility. Also， US stock market has been there for many years. They have better system， so less risk.（标普500应该具有较低的波动性。如果比较市值的话，标普500的股票市值比沪市的要大。大盘股的波动性较小。此外，美国股市已经存在多年。他们有更好的系统，所以风险更小）”

Johnny完全不让晓兮有喘息的机会继续问道：“Let us assume that the volatility is 20%. Can you calculate the option prices now?(让我们假设波动率为 20%。你现在可以计算期权价格吗)”

晓兮正要下笔开始算，突然想到这个公式还有几个前提条件，她说道：“No， there are some assumptions for Black Scholes formula. One of them is that you can buy and sell any amount of shares，but you can only long stocks in China.(不，Black Scholes公式有一些假设。其中之一是你可以做多和做空任意数量的股票，