NO.PZ2019070101000005
问题如下:
Which of the following statements is least correct about implied volatility method?
选项:
A.Implied volatility is lower than realized volitility on average.
B.Model-dependent is one of the most important shortcomings of implied volatility method.
C.Implied volatility can react immediately to market conditions.
D.The advantage of implied volatility method is that it is a forward-looking and preditive measure.
解释:
A is correct.
考点:Implied volatility Method
解析: 这道题是选出说法错误的选项。 implied volatility method是通过采用定价模型,根据市场价格计算volatility 来预测future volatility的一种方法。因为采用市场价格,所以它可以快速反应市场状况,C选项正确,但是最主要的缺点就是模型依赖,如果模型错误,算出的结果也是错误的。B选项正确。因为市场价格往往可以反映对未来的预期,所以这个方法是一个forward looking的方法,D选项均正确。
实证经验表明,implied volatility往往是高于实际的volatility,所以A选项不正确。
请问B和D 选项对应基础讲义页数