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C_M_ · 2024年10月06日

这两种方法是怎么比较的

NO.PZ2023100703000118

问题如下:

A committee of risk management practitioner discusses the difference between pricing deep out-of-the-money call options on FBX stock and pricing deep out-of-the-money call options on the EUR/JPY foreign exchange rate using the Black-Scholes-Merton (BSM) model. The practitioners price these options based on two distinct probability distributions of underlying asset prices at the option expiration date: A lognormal probability distribution An implied risk-neutral probability distribution obtained from the volatility smile for options of the same maturity Using the lognormal instead of the implied risk-neutral probability distribution will tend to:

选项:

A.Price the option on FBX relatively high and price the option on EUR/JPY relatively low.

B.Price the option on FBX relatively low and price the option on EUR/JPY relatively high.

C.Price the option on FBX relatively low and price the option on EUR/JPY relatively high.

D.Price the option on FBX relatively high and price the option on EUR/JPY relatively high.

解释:

The implied distribution of the underlying equity prices derived using the general volatility smile of equity options has a heavier left tail and a less heavy right tail than a lognormal distribution of underlying prices. Therefore, using the lognormal distribution of prices causes deep-out-of-the-money call options on the underlying to be priced relatively high. The implied distribution of underling foreign currency prices derived using the general volatility smile of foreign currency options has heavier tail than a lognormal distribution of underlying prices. Therefore, using the lognormal distribution of prices causes deep-out-of-the-money call options on the underlying to be priced relatively low.

lognormal分布是左高右低,bsm是单调递减,两种方法如何比较

1 个答案

pzqa27 · 2024年10月08日

嗨,爱思考的PZer你好:


这个题就是考察讲义上原图的结论,请记住这张图,根据这个图尾巴的情况来看,implied的分布尾巴更肥一些。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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