NO.PZ202108100100000405
问题如下:
Based on Solomon’s observation about the model price and market price for the
put option in Exhibit 2, the implied volatility for the GPX is most likely:
选项:
A.less than the historical volatility.
equal to the historical volatility.
greater than the historical volatility
解释:
A is correct.
The put is priced at $7.4890 by the BSM model when using the historical volatility input of 24%. The market price is $7.20. The BSM model overpricing suggests the implied volatility of the put must be lower than 24%.
中文解析:
根据市场价格反推出来的波动率叫做隐含波动率;
BSM model中使用的波动率为历史水平的波动率。
波动率与期权的价格呈正向关系,波动率越高,期权越贵。因此现在市场上的期权价格低于BSMmodel计算出来的价格,说明隐含波动率低于历史水平24%。选A。
波动率与价格正相关,反推出来的价格高于市场价格,不应该说明隐含波动率高于历史价格吗?