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.
如题
