比夏 · 2021年08月08日
NO.PZ2020033001000082
问题如下：
If an empirical distribution has a fatter right tail than a lognormal distribution, the implied volatility would be:
选项：
A.
equal across low and high strike prices.
B.
greater for low strike prices.
C.
greater for high strike prices.
D.
greater for mid-range strike prices.
解释：
C is correct.
考点：Volatility smile
解析：
右侧尾巴更肥时，价格靠右(价格高)的位置波动大。
在这个章节讲的分布针对的是，期权的价格，还是期权标的物的价格？
NO.PZ2020033001000082问题如下 If empiricstribution ha fatter right tail tha lognormstribution, the implievolatility woulbe: equacross low anhigh strike prices. greater for low strike prices. greater for high strike prices. greater for mirange strike prices. C is correct.考点Volatility smile解析右侧尾巴更肥时，价格靠右(价格高)的位置波动大。 肥尾，内含波动率高，根据波动率微笑图，应该都是图像左侧部分，即执行价格低
NO.PZ2020033001000082 greater for low strike prices. greater for high strike prices. greater for mirange strike prices. C is correct. 考点Volatility smile 解析 右侧尾巴更肥时，价格靠右(价格高)的位置波动大。 如果是肥尾的话，应该是high stopri和low strike pri波动更大吧？
NO.PZ2020033001000082 能否画下图呢 关于肥尾的总是画完结果取的相反
