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pinzhixiaoguo · 2022年09月23日

请问这道题学过吗?

NO.PZ2020033001000041

问题如下:

Which of the following statements best illustrates the main limitations of the BSM option pricing model?

选项:

A.

For up-and-out calls and puts, when the knock-out strike price is equal to the strike price and the interest rate is equal to the return on the underlying asset, the BSM model is insensitive to changes in implied volatility.

B.

The volatility smile indicates that the implied volatility of in-the-money call and put options is relatively low.

C.

For down-and-out calls and puts, when the knock-out strike price is smaller than the strike price and the interest rate is higher than the return on the underlying asset, the BSM model is not sensitive to changes in option maturity.

D.

The BSM model assumes that volatility changes as the market changes

解释:

A is correct.

考点:BSM模型的缺点

解析:作为结论了解即可:因为BSM假设的是constant volatility,但是实际中,在knock out价等于行权价,以及underlying收益率等于利率时,期权价格对隐含波动率会很敏感。因此BSM的假设隐含波动率变化不敏感就是模型的缺陷。

这道题在讲义讲到这部分的时候出出来,合适吗?我怎么在讲义里没看到这道题涉及到的知识点?

1 个答案

品职答疑小助手雍 · 2022年09月24日

同学你好,这个点已经不是二级的考纲内容了,不过对加深理论的了解也有点帮助,BSM的缺点蛮多的(这个一级里也有说它的局限性),这个题也算是对理论的缺点的拓展。

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