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FRM练习题对于备考的考生来说是非 常重要的，尤其是临近FRM考试。下文是小编列举的相关真题解析，备考的你看过来！

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.

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

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.

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

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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