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粉红战狼 · 2022年03月21日

讲义208页那个图不是说less heavy right tail吗？

  1. FRM II
  2. Market Risk Measurement And Management

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

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1 个答案

李坏_品职助教 · 2022年03月22日

嗨，从没放弃的小努力你好：


对，讲义里面说的是在volatility skew（波动率偏斜，股票价格低的时候对应的implied volatility最高），这道题是问你另外一种情况：假如出现了fatter right tail的情况，那么银行波动率和行权价是什么关系？


假如出现了和讲义里相反的fatter right tail，说明右侧（对应比较高的行权价）极端的基础资产（股票）价格比正常的Lognormal的要多，说明在价格很高（右侧）的时候，implied volatility比lognormal distribution要大。而讲义里说的是左侧的极端volatilty 更大一些，这是股票期权市场的两种情况。

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