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The Implied Volatility Skew Observed in Stock Indices Cannot Be

Question 18

Multiple Choice

The implied volatility skew observed in stock indices cannot be attributed to which of the following reasons?


A) The distribution of index returns is non-normal.
B) The skewness of index returns is much greater than zero.
C) The excess kurtosis of index returns is much greater than zero.
D) There is crash risk in the index.

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