Which of the following is true?
A. The volatility skew for equities is much more pronounced now than it was in 1985 .
B. The volatility skew for equities has a positive gradient
C. The volatility skew for equities is consistent with the Black-Scholes-Merton model.
D. The volatility skew for equities is similar to that for foreign currencies.
A
There was very little volatility skew or smile for equities prior to the crash of 1987
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