The implied volatility skew observed in stock indices cannot be attributed to which of the following reasons?
A) The distribution of index returns is non-normal.
B) The skewness of index returns is much greater than zero.
C) The excess kurtosis of index returns is much greater than zero.
D) There is crash risk in the index.
Correct Answer:
Verified
Q20: The Black-Scholes formula is based on
A)A field
Q21: Consider a Black-Scholes setting.When a call option
Q22: The VIX is an implied volatility index
Q23: A volatility swap is an option on
Q24: Most major stock indices,like the S&P
Q26: The S&P 500 index is trading at
Q27: The Black-Scholes price of a three-month 50-strike
Q28: A variance swap is an option on
Q29: Consider a Black-Scholes setting.When a call option
Q30: The three-month S&P 500 futures contract is
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