NO.PZ202208100100000203
问题如下：
In his statement to Calzada, Armitage is least likely correct with regard to:
选项：
A.delta hedging.
long risk reversal.
解释：
Solution
B is correct. Exhibit 2 depicts a volatility skew in which implied volatility increases for out-of-the-money (OTM) put options and decreases for OTM call options. A volatility smile occurs when the curve is U-shaped––that is, implied volatility increases for OTM puts and calls.
C is incorrect. Armitage is correct about the long risk reversal strategy of selling the OTM put and buying the OTM call if the put implied volatility is considered to be too high compared with the call implied volatility.
A is incorrect. Armitage is correct about delta hedging the option position by selling the underlying asset.
long risk reversal and delta hedge the option position by selling the underlying asset 这句话怎么理解呢
