NO.PZ2022071105000011
问题如下：
A risk analyst is examining a firm’s foreign currency option pricing assumptions. The implied volatility is
relatively low for an at-the-money option and it becomes progressively higher as the option moves either in-
the-money or out-of-the-money. How does the distribution of option prices on this foreign currency implied by
the Black-Scholes-Merton model compare to the lognormal distribution with the same mean and standard
deviation?
选项：
A.It has a heavier left tail and a less heavy right tail.
B.It has a heavier left tail and a heavier right tail.
C.It has a less heavy left tail and a heavier right tail.
D.It has a less heavy left tail and a less heavy right tail.
解释：
中文解析：
B是正确的。对于一个外币期权，隐含的分布给出了一个相对较高的期权价格。平值期权的隐含波动率相对较低，但是
当它转变为价内或价外期权时，隐含波动率就会升高。因此隐含的分布比对数正态分布具有更厚的尾部。
B is correct. For a foreign currency option, the implied distribution gives a relatively high
price for the option. The implied volatility is relatively low for at-the-money options, but
it becomes higher as the option moves either in-the-money or out-of-the-money. Thus,
the implied distribution has heavier tails than the lognormal distribution.
老师您好，我有点没明白，平日学的那个lognormal 表现为双瘦尾和这道题的区别在哪里。什么叫转换为价外期权，答案没整明白。麻烦老师了
