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金融民工阿聪 · 2021年04月01日

D为什么错呢

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000086

问题如下：

You are asked to mark to market a book of plain vanilla stock options. The trader is short deep out-of-money options and long at-the-money options. There is a pronounced smile for these options. The trader’s bonus increases as the value of his book increases. Which approach should you use to mark the book?

选项：

A.

Use the implied volatility of at-the-money options because the estimation of the volatility is more reliable.

B.

Use the average of the implied volatilities for the traded options for which you have data because all options should have the same implied volatility with Black-Scholes and you don’t know which one is the right one.

C.

For each option, use the implied volatility of the most similar option traded on the market.

D.

Use the historical volatility because doing so corrects for the pricing mistakes in the option market.

解释：

C is correct.

考点 ： Volatility Smile

解析 ： The prices obtained with C are the right ones because they correspond to prices at which you could sell or buy the options.

D为什么错呢

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1 个答案

小刘_品职助教 · 2021年04月01日

同学你好，

因为历史不能代表未来，用历史的波动率不能代表对当前市场的定价是正确的。

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