FRM練習(xí)題對于備考的考生來說是非 常重要的，尤其是臨近FRM考試。下文是小編列舉的相關(guān)真題解析，備考的你看過來！

Which of the following statements is incorrect regarding volatility smiles?

A) Currency options exhibit volatility smiles because the at-the-money options have higher implied volatility than away-from-the-money options.>>>點擊領(lǐng)取2021年FRM備考資料大禮包（戳我免·費領(lǐng)?。?/span>

B) Volatility frowns result when jumps occur in asset prices.

C) Equity options exhibit a volatility smirk because low strike price options have greater implied volatility.

D) Relative to currency traders, it appears that equity traders’expectations of extreme price movements are more asymmetric.

答案：A

掃碼參與

解析：Currency options exhibit volatility smiles because the at-the-money options have lower implied volatility than away-from-the-money options.Equity traders believe that the probability of large price decreases is greater than the probability of large price increases. Currency traders’beliefs about volatility are more symmetric as there is no large skew in the distribution of expected currency values.》》》點擊咨詢金融行業(yè)年薪待遇詳情 

An empirical distribution that exhibits a fatter right tail than that of a lognormal distribution would indicate:

A) Equal implied volatilities across low and high strike prices.

B) Greater implied volatilities for low strike prices.

C) Greater implied volatilities for high strike prices.

D) Higher implied volatilities for mid-range strike prices.

答案：C 【資料下載】[融躍財經(jīng)]FRM一級ya題-pdf版

解析：An empirical distribution with a fat right tail generates a higher implied volatility for higher strike prices due to the increased probability of observing high underlying asset prices.

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