FRM例题解析，考生一定要掌握！

在备考FRM考试中，对于考生来说什么事情是重要的，那当然是在备考后期，对于大量真题的练习。考生一定要掌握相关的量，这样对于通过考试是有帮助的。下面是小编列举的例题解析，考生一定要掌握！。>>>点击领取2021年FRM备考资料大礼包（戳我免·费领取）

Arisk committee of the board of company ABC is discussing the difference between pricing deep out-of-the-money call options onABC stock and pricing deep out-of-the-money call options on the USD/GBP foreign exchange rate using the Black-Scholes-Merton (BSM) model. The committee considers pricing each of these 2 options based on two distinct probability distributions of underlying asset prices at the option expiration date: Alognormal probability distribution, and an implied risk-neutral probability distribution obtained from the volatility smile for each aforementioned option of the same maturity and the same moneyness. If the implied risk-neutral probability distribution is used, instead of the lognormal, which of the following is correct?

A) The price of the option on ABC would relatively be high and the price of the option on USD/GBP would relatively be low comparing to those computed from the lognormal counterparts.》》》想参加融跃FRM培训班点我咨询

B) The price of the option on ABC would relatively be low and the price of the option on USD/GBD would relatively be high comparing to those computed from the lognormal counterparts.

C) The price of the option on ABC would relatively be low and the price of the option on USD/GBD would relatively be low comparing to those computed from the lognormal counterparts.

D) The price of the option on ABC would relatively be high and the price of the option on USD/GBD would relatively be high comparing to those computed from the lognormal counterparts.

答案：B 【资料下载】FRM一级思维导图PDF版

解析：The implied distribution of the underlying equity prices derived using the general volatility smile of equity options has a heavier left tail and a less heavy right tail than a lognormal distribution of underlying prices. Therefore, using the implied distribution of prices causes deep-out-of-the-money call options on the underlying to be priced relatively low compared with using the lognormal distribution. The implied distribution of underlying foreign currency prices derived using the general volatility smile of foreign currency options has heavier tails than a lognormal distribution of underlying prices. Therefore, using the implied distribution of prices causes deep-out-of-the-money call options on the underlying to be priced relatively high compared with using the lognormal distribution.

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