发布时间:2021-06-29 09:12来源: 融跃教育FRM
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An empirical distribution that exhibits a thinner right tail than that of a lognormal distribution would indicate:
A) Equal implied volatilities across low and high strike prices.
B) Lower implied volatilities for low strike prices.》》》戳:免费领取FRM各科视频讲义+历年真题+21年原版书(PDF版)
C) Lower implied volatilities for high strike prices.
D) Higher implied volatilities for mid-range strike prices.
答案:C
解析:An empirical distribution with a thinner right tail generates a lower implied volatility for higher strike prices due to the decreased probability of observing high underlying asset prices.
The volatility term structure is the relationship between implied volatilities and:》》》想参加融跃FRM培训班点我咨询
A) Interest rates for at-the-money contracts.
B) Dividend yields for at-the-money contracts.
C) Time to expiration for at-the-money contracts.
D) Dividend yields for out-of-the-money contracts.
答案:C
解析:Volatility term structures list the relationship between implied volatilities and time to expiration for at-the-money contracts.
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