鄭同學(xué)
2020-08-27 08:50為什么ATM的option，隱含波動率最低？
所屬：CFA Level III > Derivatives and Currency Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Chris Lan助教
2020-08-27 09:38
該回答已被題主采納
同學(xué)你好
書上給的原因是投資者對于負面肥尾事件概率的重新評估。
In particular, out-of-the-money (OTM) puts typically command higher implied volatilities than ATM or OTM calls. This phenomenon is attributed to investors’ reassessments of the probabilities of negative “fat-tailed” market events such as the 2007–2009 global financial crisis.
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