题目4758 · 数理金融
Flatter smile
If the smile becomes flatter in log-moneyness, what happens to the difference between sticky-strike and sticky-moneyness for small spot moves?
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中文题目题目4754 · 数理金融
Forward smile matters
Why can two models fit today's smile similarly well and still disagree strongly on forward smile behavior?
打开 →题目4756 · 数理金融
Bigger spot rally
If the smile has negative slope in log-moneyness, what happens to the fixed-strike implied vol shift under sticky-moneyness when the spot rally becomes larger?
打开 →题目4755 · 数理金融
First thing to ask
Before arguing about the 'right' smile-dynamics convention, what should you ask first?
打开 →题目2320 · 数理金融
Jump-Risk Trading Intuition 10
Why does the smile effect of jumps often decay with maturity more differently than the smile effect of plain stochastic volatility?
打开 →题目2318 · 数理金融
Jump-Risk Trading Intuition 8
Why do positive and negative jumps change the volatility smile in different ways even if jump variance is the same?
打开 →题目4676 · 数理金融
Local Vol Scenario 11
Why can a local-vol model fit today's vanilla surface exactly while still generating unrealistic smile dynamics tomorrow?
打开 →题目4759 · 数理金融
Longer horizon dynamics
Why can smile-dynamics convention differences matter more over longer horizons than over intraday moves?
打开 →题目4741 · 数理金融
Sticky-Strike Versus Sticky-Moneyness 1
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?
打开 →题目4751 · 数理金融
Why conventions matter
Why is saying 'the smile moved' incomplete unless you also say under which smile-dynamics convention you are describing it?
打开 →题目4752 · 数理金融
Why local vol criticism shows up here
Why do practitioners often bring up local vol when discussing smile dynamics after spot moves?
打开 →题目4656 · 数理金融
Assumption Breakdown Diagnostic 16
If you hedge more frequently, what usually happens to diffusion-style replication error and what usually happens to transaction costs?
打开 →题目4657 · 数理金融
Assumption Breakdown Diagnostic 17
If jump risk becomes larger while diffusive volatility is unchanged, what happens to the credibility of a pure Black-Scholes delta hedge?
打开 →题目4658 · 数理金融
Assumption Breakdown Diagnostic 18
If vol-of-vol rises materially, what usually happens to the plausibility of a single constant-volatility Black-Scholes description?
打开 →题目4659 · 数理金融
Assumption Breakdown Diagnostic 19
If market liquidity deteriorates sharply, which Black-Scholes assumption becomes more dangerous to ignore?
打开 →题目4660 · 数理金融
Assumption Breakdown Diagnostic 20
Why can longer-dated options expose Black-Scholes assumption failures more visibly than very short-dated options?
打开 →题目4757 · 数理金融
Bigger selloff
With a typical downside skew, what happens to fixed-strike implied vol under sticky-moneyness after a larger selloff?
打开 →题目4746 · 数理金融
Fixed-Strike Vol Shift 1
With sigma(k)= 0.24 + -0.2 k in log-moneyness and fixed strike K=105, spot moves from 100 to 95. Under a sticky-moneyness convention, by how much does the fixed-strike implied volatility change?
打开 →题目2296 · 数理金融
Jump Compensator Recovery 1
A desk uses the simplified risk-neutral drift relation mu_Q = r - lambda*kappa for a jump-diffusion. If r = 3.00%, lambda = 1.2, and mu_Q = 0.60%, what jump compensator kappa is implied?
打开 →题目2297 · 数理金融
Jump Compensator Recovery 2
In a simplified jump-diffusion, mu_Q = r - lambda*kappa. If r = 2.50%, kappa = 1.60%, and mu_Q = 0.50%, what jump intensity lambda is implied?
打开 →题目2298 · 数理金融
Jump Compensator Recovery 3
A risk-neutral jump-diffusion uses mu_Q = r - lambda*kappa. If r = 4.00%, lambda = 0.8, and kappa = 1.00%, what is mu_Q?
打开 →题目2299 · 数理金融
Jump Compensator Recovery 4
A desk writes the compensated jump-diffusion drift as mu_Q = r - lambda*kappa. If mu_Q = 0.60%, lambda = 1.5, and kappa = -0.40%, what risk-free rate r is consistent with that setup?
打开 →题目2300 · 数理金融
Jump Compensator Recovery 5
A desk uses the simplified risk-neutral drift relation mu_Q = r - lambda*kappa for a jump-diffusion. If r = 1.50%, lambda = 2, and mu_Q = -0.30%, what jump compensator kappa is implied?
打开 →题目2306 · 数理金融
Jump Variance Decomposition 1
A simplified jump-diffusion desk decomposition writes total log-return variance over horizon T as sigma^2*T + lambda*T*delta^2. If sigma = 0.2, T = 1, lambda = 0.8, and total variance is 0.0884, what jump-size dispersion delta is implied?
打开 →题目2307 · 数理金融
Jump Variance Decomposition 2
Using total variance = sigma^2*T + lambda*T*delta^2, suppose sigma = 0.18, T = 0.5, delta = 0.12, and total variance is 0.027. What jump intensity lambda is implied?
打开 →题目2308 · 数理金融
Jump Variance Decomposition 3
A simplified jump-diffusion uses total variance = sigma^2*T + lambda*T*delta^2. If lambda = 1.2, T = 1, delta = 0.08, and total variance is 0.0624, what diffusion volatility sigma is implied?
打开 →题目2310 · 数理金融
Jump Variance Decomposition 5
Suppose total log-return variance over horizon T is modeled as sigma^2*T + lambda*T*delta^2. If sigma = 0.22, lambda = 1.1, delta = 0.09, and total variance is 0.03883, what horizon T is implied?
打开 →题目2311 · 数理金融
Jump-Risk Trading Intuition 1
Why do negative jumps create downside skew even when the diffusion part is symmetric?
打开 →题目2312 · 数理金融
Jump-Risk Trading Intuition 2
Why can a Black-Scholes delta hedge look fine most days and still fail violently under jump risk?
打开 →题目2313 · 数理金融
Jump-Risk Trading Intuition 3
Why are short-dated out-of-the-money options especially sensitive to jump assumptions?
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