在FRM考試中，考生備考一定要找到適合自己的學(xué)習(xí)方法。看網(wǎng)課也是很重要的。FRM考試中FRM真題很重要嗎？

關(guān)于FRM真題也是很重要的，下面是小編列舉的相關(guān)真題，希望對(duì)備考的你有所幫助！

Jason Connor, FRM, is a hedge fund manager who is explaining implied volatility for currency options to junior analysts. Which of the following statements best completes his explanation?

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A) There is a greater chance of extreme price movements than predicted by a lognormal distribution.

B) Arbitrage opportunities clearly exist.

C) The implied volatility of currency options is expected to increase in the near future.

D) There are no arbitrage opportunities unless the implied volatility versus strike price represents a skewness that is referred to as a smirk rather than a smile.

答案：A

解析：If the implied volatilities for actual currency options are greater for away-from-the-money options than at-the-money options, then currency traders must think there is a greater chance of extreme price movements than predicted by a lognormal distribution. Empirical evidence supports this hypothesis.

Which of the following regarding equity option volatility is true?

A) There is higher implied price volatility for away-from-the-money equity options.

B) “Crashophobia” suggests actual equity volatility increases when stock prices decline.

C) Compared to the lognormal distribution, traders believe the probability of large down movements in price is similar to large up movements.

D) Increasing leverage at lower equity prices suggests increasing volatility.

答案：D

解析：There is higher implied price volatility for low strike price equity options. “Crashophobia” is based on the idea that large price declines are more likely than assumed in Black-Scholes-Merton prices, not that volatility increases when prices decline. Compared to the lognormal distribution, traders believe the probability of large down movements in price is higher than large up movements. Increasing leverage at lower equity prices suggests increasing volatility.

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