NO.PZ2020011101000039
问题如下:
The implied volatility for an ATM money option is reported at 20%, annualized. Based upon this, what would be the daily implied volatility?
选项:
解释:
σannual=252∗σdaily2
0.2=252∗σdaily2
σdaily=0.2/252=1.26%
条件和问题都是标准差,为什么对252也要开根