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滴滴姐姐~ · 2021年09月07日

volatility smile (的一道题。。。

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.

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?



哈喽我有两个问题哈~

第一个是mark to market a book of plain vanilla stock options。这句话里的mark to market是盯市吗 book是啥呀 后面又有啥mark the book?这是黑话咩hhh 还是book的什么特别含义?


第二个是这是个股票期权 怎么还能有pronounced smile呀~不是应该是pronounced 皮笑肉不笑吗~


Thxx~~

1 个答案
已采纳答案

李坏_品职助教 · 2021年09月07日

嗨,从没放弃的小努力你好:


mark to market是盯市制度。book是指的交易员的资产价值。mark the book指的是监控交易员的资产变动。


你说的皮笑肉不笑是smirk,这里题目写的smile,算是一种统称了,不影响这道题的作答的。无论是smile还是Smirk,都得用市场上其他相似度高的期权的implied volatility去mark the book

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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