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Arisk manager is examining a firm’s equity index option price assumptions. The observed volatility skew for a particular equity index slopes downward to the right. Compared to the lognormal distribution, the distribution of option prices on this index implied by the Black-Scholes-Merton (BSM) model would have:

A) Afat left tail and a thin right tail.

B) Afat left tail and a fat right tail.

C) Athin left tail and a fat right tail.

D) Athin left tail and a thin right tail.

答案：A

解析：Adownward sloping volatility skew indicates that out of the money puts are more expensive than predicted by the Black-Scholes-Merton model and out of the money calls are cheaper than expected predicted by the Black-Scholes-Merton model. The implied distribution has fat left tails and thin right tails. 》》》FRM復(fù)習(xí)資料點(diǎn)我咨詢 

With all other things being equal, a risk monitoring system that assumes constant volatility for equity returns will understate the implied volatility for which of the following positions by the largest amount:

A) Short position in an at-the-money call

B) Long position in an at-the-money call

C) Short position in a deep out-of-the-money call

D) Long position in a deep in-the-money call

答案：D 【資料下載】點(diǎn)擊下載FRM二級(jí)思維導(dǎo)圖PDF版

解析：Aplot of the implied volatility of an option as a function of its strike price demonstrates a pattern known as the volatility smile or volatility skew. The implied volatility decreases as the strike price increases. Thus, all else equal, a risk monitoring system which assumes constant volatility for equity returns will understate the implied volatility for a long position in a deep-in-the-money call.

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