NO.PZ2018122701000091
问题如下：
A risk manager is examining a firm’s equity index option price assumptions. The observed volatility skew for a particular equity index slopes downward to the right. Compared to the lognormal distribution, the distribution of option prices on this index implied by the Black-Scholes-Merton (BSM) model would have:
选项：
A. A fat left tail and a thin right tail.
B. A fat left tail and a fat right tail.
C. A thin left tail and a fat right tail.
D. A thin left tail and a thin right tail.
解释：
A is correct.
考点Volatility Smile
解析A downward sloping volatility skew indicates that out of the money puts are more expensive than predicted by the Black-Scholes-Merton model and out of the money calls are cheaper than expected predicted by the Black-Scholes-Merton model. The implied distribution has fat left tails and thin right tails.
没有对应上，请老师指导！
