FRM真題是歷年FRM考試的題目，是FRM考試的重難點地方，因此建議考生在考前能夠進行至少三套真題的練習，并對真題的知識點進行總結，幫助自己進行提升！

Acommittee of risk management practitioner discusses the difference between pricing deep out-of-the-money call options on FBX stock and pricing deep out-of-the-money call options on the EUR/JPY foreign exchange rate using the Black-Scholes-Merton (BSM) model. The practitioners price these options based on two distinct probability distributions of underlying asset prices at the option expiration date:

●Alognormal probability distribution

●An implied risk-neutral probability distribution obtained from the volatility smile for options of the same maturity Using the lognormal instead of the implied risk-neutral probability distribution

will tend to:

A) Price the option on FBX relatively high and price the option on EUR/JPY relatively low.

B) Price the option on FBX relatively low and price the option on EUR/JPY relatively high.

C) Price the option on FBX relatively low and price the option on EUR/JPY relatively high.

D) Price the option on FBX relatively high and price the option on EUR/JPY relatively high.

答案：A 

解析：The implied distribution of the underlying equity prices derived using the general volatility smile of equity options has a heavier left tail and a less heavy right tail than a lognormal distribution of underlying prices. Therefore, using the lognormal distribution of prices causes deep-out-of-the-money call options on the underlying to be priced relatively high.【資料下載】點擊下載FRM二級思維導圖PDF版

The implied distribution of underling foreign currency prices derived using the general volatility smile of foreign currency options has heavier tail than a lognormal distribution of underlying prices. Therefore, using the lognormal distribution of prices causes deep-out-of-the-money call options on the underlying to be priced relatively low.

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