曹同學(xué)
2022-11-22 16:4961 單選題 標(biāo)記收藏糾錯 ABC, an automobile parts supplier, has made an offer to acquire EFG, creator of software for airline industry. The offer is to pay EFG’s shareholders the current market value of their stock in ABC’ stock. Both companies believe there will be synergies from this acquisition. Mikey, CRO of ABC, pointed that the liquidity of the market maybe but not necessarily extremely worsen in the near future though the synergies could enhance the competitiveness of company. On Mikey’s view, the ABC equity options would exhibit which of the following volatility traits? 哪倆個lognormal，協(xié)同效應(yīng)是什么意思？股票價格被收購影響，但是波動率是怎么收到影響的呢？
所屬：FRM Part II > Market Risk Measurement and 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
Crystal助教
2022-11-29 10:26
該回答已被題主采納
這里的協(xié)同效應(yīng)就是兩個公司好的話就一起好，不好的話就一起不好。這個題目考察的其實是當(dāng)公司遇到不好的事情的時候，流動性出現(xiàn)問題，會有什么樣的波動率微笑。流動性出現(xiàn)問題，很大可能會出現(xiàn)公司的股價發(fā)生跳水，如果股價不連續(xù)，發(fā)生跳水情況，波動率微笑的圖就是皺眉。
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