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FRM二级《市场风险测量与管理》:Black-Scholes-Merton(BSM)model

发表时间:2017-11-06 15:17
作者:FRM考试网
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A risk 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.A fat left tail and a thin right tail.
 
B.A fat left tail and a fat right tail.
 
C.A thin left tail and a fat right tail.
 
D.A thin left tail and a thin right tail.
 
FRM二级考试科目《市场风险测量与管理》
 
Answer:A
 
Explanation:A downward 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.
 
声明丨本文由FRM考试网(frm.gaodun.cn)精编整理,未经许可不得随意转载或引用。
 

报名、考试时间

2018年05月2018年11月
报名时间 第一阶段:2017.12.1~18.1.31
第二阶段:2018.02.01~02.28
第三阶段:2018.30.01~04.15
考试时间 2018年05月19日(周六)
成绩查询 2018年06月28日(周四)
报名时间2 第一阶段:2018.05.1~07.31
第二阶段:2018.08.01~08.31
第三阶段:2018.09.01~10.15
考试时间 2018年11月17日(周六)
成绩查询 2019年01月03日(周四)
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