问题如下:
A risk manager is considering switching from using
historical volatility to using implied volatility in VaR calculations. Which of
the following statements about implied volatility is correct?
选项:
A. Implied volatility estimates are model dependent and a
misspecified model can result in erroneous forecasts.
B. Implied volatility estimates require that historical
returns are indicative of future returns.
C. Implied volatility estimates tend to underestimate
future volatility as a result of mean reversion.
D. Implied volatility estimates are generally accurate
even if there is only one trade in the option used to calculate an estimate.
解释:
B选项描述的是historical-based approach的特点,B错误。implied-volatility-based-approach中没有mean reversion的假设,C错误。D选项描述的情况,option value的估计就不靠谱,那么反求出来的implied volatility也肯定是不准确的,D错误。