NO.PZ2018122701000091
问题如下：
A risk manager is examining a firm’s equity index option price assumptions. The observed volatility skew for a particular equity index slopes downward to the right. Compared to the lognormal distribution, the distribution of option prices on this index implied by the Black-Scholes-Merton (BSM) model would have:
选项：
A.
A fat left tail and a thin right tail.
B.
A fat left tail and a fat right tail.
C.
A thin left tail and a fat right tail.
D.
A thin left tail and a thin right tail.
解释：
A is correct.
考点Volatility Smile
解析A downward sloping volatility skew indicates that out of the money puts are more expensive than predicted by the Black-Scholes-Merton model and out of the money calls are cheaper than expected predicted by the Black-Scholes-Merton model. The implied distribution has fat left tails and thin right tails.
老师股指期权的隐含波动率是皮笑肉不笑的smirk图形，对于call option那么在执行价低的时候implied volatility高，所以期权比较贵，到这我都理解，怎么对应到表的资产equity的price distribution上的呢？又怎么去判断肥尾瘦尾的呢？
