劃重點(diǎn)！FRM二級(jí)市場(chǎng)風(fēng)險(xiǎn)重要知識(shí)點(diǎn)-波動(dòng)率微笑

FRM考生注意！劃重點(diǎn)啦！今日整理知識(shí)點(diǎn)：FRM二級(jí)市場(chǎng)風(fēng)險(xiǎn)重要知識(shí)點(diǎn)-波動(dòng)率微笑。市場(chǎng)風(fēng)險(xiǎn)計(jì)量與管理在FRM考試科目中可以算是一個(gè)知識(shí)點(diǎn)較多的板塊，且在整個(gè)考試中的占比為20%，分?jǐn)?shù)占比還是很高的，大家一定要重點(diǎn)進(jìn)行學(xué)習(xí)??！

正保會(huì)計(jì)網(wǎng)校的老師不光給大家總結(jié)了知識(shí)點(diǎn)，還結(jié)合了精選例題，給大家做了細(xì)致的講解，一起來學(xué)習(xí)一下吧！

先來看看Alex老師的整體知識(shí)點(diǎn)介紹，更好理解呦！

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 ●知識(shí)點(diǎn)：波動(dòng)率微笑● 

What is volatility smile?

?Volatility smile is a plot of the implied volatility of an option as a function of its strike price.

Foreign Currency Options

Equity Options

?？键c(diǎn)：

1. 注意區(qū)分外匯期權(quán)和股票期權(quán)的隱含波動(dòng)率的區(qū)別。外匯期權(quán)是波動(dòng)率微笑，股票期權(quán)是波動(dòng)率斜笑。

2. 相同行權(quán)價(jià)格和到期日的歐式看漲期權(quán)和歐式看跌期權(quán)的隱含波動(dòng)率相同。

例題：

Assume that implied volatilities from equity option prices display a volatility skew and that implied vols from currency option prices display a volatility smile. Which of the following statements about option price implied volatility curves are true?

I. The implied volatility of a deep out-of-the-money equity put option is higher than that of a deep-in-the-money equity put.

II. The implied volatility of a deep out-of-the-money equity call option is higher than that of an at-the-money equity call option.

III. The implied volatility of a deep in-the-money currency call option cannot be the same as that of a deep in-the-money currency put option.

IV. The implied volatility of a deep out-of-the-money currency call option is higher than that of an at-the-money currency call option.

A.I and III only

B.I and IV only

C.II and III only

D.II and IV

【正確答案】B

【答案解析】volatility skew means that, for equities, the ISD of out-of-the-money (OTM) puts is greater than that of ITM puts, so answer I. is true. Conversely, the ISD of ITM puts, or equivalently that of OTM calls, is similar to that ATM options, so answer II. Is false. A volatility skew means that, for currencies, the ISD of out-of-the-money options is greater than that of ATM options, so answer IV. is true. On the other hand, OTM and ITM options might have similar vols (for currency options), so answer III. is false.

以上就是FRM二級(jí)市場(chǎng)風(fēng)險(xiǎn)重要知識(shí)點(diǎn)-波動(dòng)率微笑的相關(guān)內(nèi)容，后期小編會(huì)持續(xù)給大家更新相關(guān)重要知識(shí)點(diǎn)，小伙伴們可以關(guān)注【 備考經(jīng)驗(yàn) 】欄目查看！

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