划重点！FRM二级市场风险重要知识点-波动率微笑

FRM考生注意！划重点啦！今日整理知识点：FRM二级市场风险重要知识点-波动率微笑。市场风险计量与管理在FRM考试科目中可以算是一个知识点较多的板块，且在整个考试中的占比为20%，分数占比还是很高的，大家一定要重点进行学习！！

正保会计网校的老师不光给大家总结了知识点，还结合了精选例题，给大家做了细致的讲解，一起来学习一下吧！

先来看看Alex老师的整体知识点介绍，更好理解呦！

↓↓↓

 ●知识点：波动率微笑● 

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

常考点：

1. 注意区分外汇期权和股票期权的隐含波动率的区别。外汇期权是波动率微笑，股票期权是波动率斜笑。

2. 相同行权价格和到期日的欧式看涨期权和欧式看跌期权的隐含波动率相同。

例题：

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

【正确答案】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二级市场风险重要知识点-波动率微笑的相关内容，后期小编会持续给大家更新相关重要知识点，小伙伴们可以关注【 备考经验 】栏目查看！

相关推荐>>

【划重点】FRM P1金融市场与产品重要知识点一周汇总！