郑同学2020-08-27 08:50:24
郑同学为什么ATM的option，隐含波动率最低？
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Chris Lan2020-08-27 09:38:29
Chris Lan同学你好
书上给的原因是投资者对于负面肥尾事件概率的重新评估。
In particular, out-of-the-money (OTM) puts typically command higher implied volatilities than ATM or OTM calls. This phenomenon is attributed to investors’ reassessments of the probabilities of negative “fat-tailed” market events such as the 2007–2009 global financial crisis.
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