错题 改一下

问题如下：

A risk analyst is examining a firm’s foreign currency option pricing assumptions. The implied volatility is relatively low for an at-the-money option and it becomes progressively higher as the option moves either in-the-money or out-of-the-money. How does the distribution of option prices on this foreign currency implied by the Black-Scholes-Merton model compare to the lognormal distribution with the same mean and standard deviation?

选项：

A.It has a heavier left tail and a less heavy right tail. B.It has a heavier left tail and a heavier right tail. C.It has a less heavy left tail and a heavier right tail. D.It has a less heavy left tail and a less heavy right tail.

解释：

For a foreign currency option, the implied distribution gives a relatively high price for the option. The implied volatility is relatively low for at-the-money options, but it becomes higher as the option moves either in-the-money or out-of-the-money. Thus, the implied distribution has heavier tails than the lognormal distribution.