lsjlsjlsj · 2022年03月20日
NO.PZ2020033001000081
问题如下：
Which of the following is indicated from the market price deviations for puts and calls in Black-Scholes-Merton prices?
选项：
A.
equivalent implied volatility:
B.
unequal implied volatility.
C.
equivalent moneyness.
D.
unequal moneyness.
解释：
A is correct.
考点：Volatility Smiles
解析：
The implied volatilities of a call and put are equal for the same strike price and time to expiration.
你好请问这道题的考点是什么
我的理解是BSM模型假设波动率不变，但是隐波都是变动的？所以选错了选了B，老师可以解答一下这道题的考点和我理解错误的地方吗
NO.PZ2020033001000081 问题如下 Whiof the following is incatefrom the market priviations for puts ancalls in Black-Scholes-Merton prices? equivalent implievolatility: unequimplievolatility. equivalent moneyness. unequmoneyness. A is correct.考点Volatility Smiles解析The implievolatilities of a call anput are equfor the same strike priantime to expiration. 如题
NO.PZ2020033001000081问题如下 Whiof the following is incatefrom the market priviations for puts ancalls in Black-Scholes-Merton prices? equivalent implievolatility: unequimplievolatility. equivalent moneyness. unequmoneyness. A is correct.考点Volatility Smiles解析The implievolatilities of a call anput are equfor the same strike priantime to expiration. 有点没读懂题目，不知道考了什么
NO.PZ2020033001000081 题干并没有说明标的资产到底是什么金融产品，是不是题目严谨性有问题？
