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Which of the following statements is incorrect regarding volatility smiles?

A) Currency options exhibit volatility smiles because the at-the-money options have higher implied volatility than away-from-the-money options.

B) Volatility frowns result when jumps occur in asset prices.

C) Equity options exhibit a volatility smirk because low strike price options have greater implied volatility.

D) Relative to currency traders, it appears that equity traders’expectations of extreme price movements are more asymmetric.

答案：A

解析：Currency options exhibit volatility smiles because the at-the-money options have lower implied volatility than away-from-the-money options.Equity traders believe that the probability of large price decreases is greater than the probability of large price increases. Currency traders’beliefs about volatility are more symmetric as there is no large skew in the distribution of expected currency values.

An empirical distribution that exhibits a fatter right tail than that of a lognormal distribution would indicate:

A) Equal implied volatilities across low and high strike prices.

B) Greater implied volatilities for low strike prices.

C) Greater implied volatilities for high strike prices.

D) Higher implied volatilities for mid-range strike prices.

答案：C

解析：An empirical distribution with a fat right tail generates a higher implied volatility for higher strike prices due to the increased probability of observing high underlying asset prices.

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