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pinzhixiaoguo · 2022年10月07日

请问如何区分CD 两个选项?

NO.PZ2018122701000084

问题如下:

With all other things being equal, a risk monitoring system that assumes constant volatility for equity returns will understate the implied volatility for which of the following positions by the largest amount:

选项:

A.

Short position in an at-the-money call

B.

Long position in an at-the-money call

C.

Short position in a deep in-the-money call

D.

Long position in a deep in-the-money call

解释:

D is correct.

考点 Volatility Smile

解析 A plot of the implied volatility of an option as a function of its strike price demonstrates a pattern known as the volatility smile or volatility skew. The implied volatility decreases as the strike price increases. Thus, all else equal, a risk monitoring system which assumes constant volatility for equity returns will understate the implied volatility for a long position in a deep-in-the-money call.

deep-in-the-money的call好判断,用volatility skew就行,但是C和D的区别是什么?

1 个答案

DD仔_品职助教 · 2022年10月07日

嗨,从没放弃的小努力你好:


同学你好,

这道题有点问题,因为按照原版书的结论,是没有对long还是short 下结论的,所以说C和D其实都行。

这道题选择了long主要是因为教材里进行解释的时候是用的long方来举例子的,就是解析的最后一句话,所以选择了D。

重点不是long还是short,关键在于是ITM call,strike低隐波高,掌握这个结论就可以啦。

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