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小小悟空yu · 2021年05月10日

为什么不是low price greter volatility

NO.PZ2018122701000088

问题如下:

An empirical distribution of equity price derived from the price of options of such stock based on BSM that exhibits a fatter right tail than that of a lognormal distribution would indicate:

选项:

A.

Equal implied volatilities across low and high strike prices.

B.

Greater implied volatilities for low strike prices.

C.

Greater implied volatilities for high strike prices.

D.

Higher implied volatilities for mid-range strike prices.

解释:

C is correct.

考点 Volatility Smile

解析 An empirical distribution with a fat right tail generates a higher implied volatility for higher strike prices due to the increased probability of observing high underlying asset prices.

为什么不是low price greater volatility

1 个答案

小刘_品职助教 · 2021年05月10日

同学你好,

给你一个链接,以前的一个老师对这个问题我觉得回答的非常好!强烈推荐,你可以看看!

https://class.pzacademy.com/qa/38752

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