NO.PZ2020033001000082
问题如下:
If an empirical distribution has a fatter right tail than a lognormal distribution, the implied volatility would be:
选项:
A.
equal across low and high strike prices.
B.
greater for low strike prices.
C.
greater for high strike prices.
D.
greater for mid-range strike prices.
解释:
C is correct.
考点:Volatility smile
解析:
右侧尾巴更肥时,价格靠右(价格高)的位置波动大。
在这个章节讲的分布针对的是,期权的价格,还是期权标的物的价格?