NO.PZ2023091601000022
问题如下:
Whichof the following exhibit positively skewed distributions?
I.Normal Distribution
II.Lognormal Distribution
III.The Returns of Being Short a Put Option
IV.The Returns of Being Long a Call Option
选项:
A.
IIonly
B.
III only
C.
IIand IV only
D.
I, III, and IV only
解释:
Alognormal distribution is positively skewed because it cannot contain negativevalues. The returns on a long call position cannot be more negative than thepremium paid for the option but has unlimited potential positive value, so itwill also be positively skewed
期权的多方亏损有限但是收益无限(无论看涨看跌),而空方亏损无限收益有限