NO.PZ2019010402000028
问题如下：
If the market price for the call option is $5.4, and the BSM model price for this option is 5.35, which of the following is correct? Assume historical volatility is an input to the BSM model.
选项：
A.implied volatility < historical volatility
B.implied volatility = historical volatility
C.implied volatility > historical volatility
解释：
C is correct.
考点：Implied volatility
解析：
根据市场价格反求出来的volatility被称为implied volatility，而基于historical volatility计算出来的价格是model price。现在market price>model price，volatility与价格是正相关，所以implied volatility>historical volatility.
老师你好，想请问一下在这种情况，implied volability算是被高估了吧。
