NO.PZ2018122701000088
问题如下:
An empirical distribution of equity price derived from the price of options of such stock based on BSM that exhibits a fatter right tail than that of a lognormal distribution would indicate:
选项:
A.Equal implied volatilities across low and high strike prices.
B.Greater implied volatilities for low strike prices.
C.Greater implied volatilities for high strike prices.
D.Higher implied volatilities for mid-range strike prices.
解释:
C is correct.
考点Volatility Smile
解析An empirical distribution with a fat right tail generates a higher implied volatility for higher strike prices due to the increased probability of observing high underlying asset prices.
全线班市场风险管理 讲义208页