4741数理金融中等数值题short
Sticky-Strike Versus Sticky-Moneyness 1
题目
Suppose the smile is parameterized in log-moneyness by sigma(k)= 0.2 + -0.12 k, with fixed strike K=110. Spot moves from 100 to 110. What implied volatility would the strike have under sticky-strike and under sticky-moneyness?
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你的答案
sticky-strike
sticky-moneyness