雞同學(xué)
2024-04-23 15:13這題也沒明白在說什么 QAQ
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
Simon助教
2024-04-23 16:58
該回答已被題主采納
同學(xué)，上午好。volatility smile和skew的圖像，行權(quán)價越低，越在圖像左邊，行權(quán)價越高，越在圖像右邊。
Generally speaking, implied volatility increases for put options at strike prices that are lower than the current stock price【行權(quán)價低于當前股價，所以是OTM put，在圖像左邊，volatility高，這段話描述volatility skew正確】,
whereas implied volatilities decrease for call options for strike prices that are higher than the current stock price；this is called the volatility skew.【行權(quán)價高于當前股價，所以是OTM call，在圖像右邊，volatility低，這段話描述volatility skew正確】;
However, sometimes implied volatility decreases for put options at strike prices that are lower than the current stock price, 【錯在OTM put volatility低，正確說法在smilie中，如果行權(quán)價低，那么是otm put，在左邊圖像，volatiliy也是高的】
whereas implied volatilities increase for call options at strike prices that are higher than the current stock price; this is called the volatility smile. 【這段話對的，行權(quán)價高，在圖像右邊，是OTM call，volatiliy高】
long risk-reversal=long OTM call+short OTM put。最后一段描述錯在把這個策略說反了。
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