Financial Risk Manager Part 2
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Which of the following statement is incorrect regarding volatility smiles?
A
Currency options exhibit volatility smiles because the at-the-money option have higher implied volatility 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 than high strike price options.