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C_M_ · 2024年10月06日

equity option

NO.PZ2023100703000121

问题如下:

A risk committee of the board of company ABC is discussing the difference between pricing deep out-of-the money call options on ABC stock and pricing deep out-of-the-money call options on the USD/GBP foreign exchange (FX) rate using the Black-Scholes-Merton model. The committee considers pricing each of these two options based on two distinct probability distributions of underlying asset prices at the option expiration date: a lognormal probability distribution, and an implied risk-neutral probability distribution obtained from the volatility smile for each aforementioned option of the same maturity and the same moneyness. If the implied risk-neutral probability distribution is used instead of the lognormal distribution, which of the following is correct?

选项:

A.The price of the option on ABC stock would be relatively high and the price of the option on USD/GBP FX rate would be relatively low compared to those computed from the lognormal counterparts.

B.The price of the option on ABC stock would be relatively low and the price of the option on USD/GBP FX rate would be relatively high compared to those computed from the lognormal counterparts.

C.The price of the option on ABC stock would be relatively low and the price of the option on USD/GBP FX rate would be relatively low compared to those computed from the lognormal counterparts.

D.The price of the option on ABC stock would be relatively high and the price of the option on USD/GBP FX rate would be relatively high compared to those computed from the lognormal counterparts.

解释:

B is correct. 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 implied distribution of prices causes deep-out-of-the-money call options on the underlying to be priced relatively low compared with using the lognormal distribution. The implied distribution of underlying foreign currency prices derived using the general volatility smile of foreign currency options has heavier tails than a lognormal distribution of underlying prices. Therefore, using the implied distribution of prices causes deep-out-of-the-money call options on the underlying to be priced relatively high compared with using the lognormal distribution.

对于equity option,risk neutral和lognormal两种方法是怎么比较的,怎么看出deep out of money call的stock在risk neutral下是尾部更heavy

1 个答案

pzqa39 · 2024年10月08日

嗨,努力学习的PZer你好:


题目问的是,用隐含波动率的分布推算出来的虚值看涨期权价格,与对数正态分布相比,是大还是小?

股票期权的波动率微笑指的是:标的股票价格的隐含分布比对数正态分布有更肥的左尾和更薄的右尾,所以深度虚值看涨期权(行权价格很高,对应右尾)的价格会比正态分布算出来更低廉。

这是一个结论,在我们基础课讲义当中,我们可以回顾一下这个图形。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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