試題詳解

24. 下列模型中可以解釋選擇權價格具有隱含波幅微笑(implied volatility smile or smirk)現象的有幾 個？ (1) Black-Scholes model；(2) constant elasticity of variance model；(3) Merton’s (1976) mixed jump-diffusion model；(4) variance-gamma model；(5) Black (1976) model；(6) Heston’s (1993) stochastic volatility model
(A)2 個
(B)3 個
(C)4 個
(D)5 個