NO.PZ2018122701000085
问题如下：
Below
are statements about equity option volatility:
I.Deep
out-of-the money options have higher implied price volatility than at-the-money
options.
II.“Crashophobia” is a phenomenon which actual stock prices in
the market decease sharply and volatility increases
III.In
comparison with the lognormal distribution, the equity option volatility has
the same probability of large downward movements and large upward movements.
IV.An increase in leverage if stock price goes down will increase the volatility
The most appropriare statement(s) is /are:
选项：
A.I and II B.III and IV C.II and III D.IV only解释：
D is correct.
考点Volatility Smile
解析
I is incorrect. There is higher implied price volatility for low strike price equity options. For call option, deep in-the-money option has higher implied price volatility, but for put option, deep out-of-the money options have higher implied price volatility.
II is incorrect. "Crashophobia" is based on the idea that large
price declines are more likely than assumed in Black-Scholes-Merton prices, not
that volatility increases when prices decline.
III is incorrect.Compared to the lognormal distribution, traders believe the probability of large down movements in price is higher than large up movements.
IV is correct. Increasing leverage at lower equity prices suggests increasing volatility.
III.In comparison with the lognormal distribution, the equity option volatility has the same probability of large downward movements and large upward movements.
这一条可以怎么改正呢？ 我想作为结论理解记忆
