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主题：【原创】港股中国石化认购权证全面研究 -- 陈经
Prior to October 1987 implied volatilities were much less dependent on strike price. This has led Mark Rubinstein to suggest that one reason for the pattern in Figure 15.3 may be "crashophobia". Traders are concerned about the possibility of another crash similar to October 1987, and they price options accordingly.There is some empirical support for crashophobia. Whenever the market declines (increases), there is a tendency for the skew to become more (less) pronounced.
From P335, Options, Futures and other derivatives, By John C. Hull
- 相关回复 上下关系8
压缩 2 层
🙂明白 罗博 字373 2007-09-09 00:41:08
🙂BS公式使用正态分布 量子 字386 2007-09-09 08:15:37
🙂这个概率分布与之前相比也不同了，变得更向左边移动了 1 罗博 字221 2007-09-09 08:41:02
🙂你能简单说下BS模型是什么吗 独憔悴 字184 2007-09-06 23:02:46
🙂这也叫做“用术语来蒙事” 1 罗博 字337 2007-09-06 23:50:24
