mock exam afternoon的97题，为什么随着利息的增长call option的价值降低，我用excel data table试过了，call option price是上升的，put option price才是下降的。快考试了，请大虾指教啊！！谢谢了。
"楼主可能没有读清题目，题目里说的是price of callable bond。interest rate上涨的话，call option的value也确实上涨，但是issuer形式call option的可能性也上升，对于bond holder来说，bond价格反而会下跌，所以选A"
我觉得是interest rate下降的情况，issuer才更有可能call back bond，因为这样能另外以更加低的成本筹资。我同样认为call option bond价格会下跌，但比option-free bond下降的更多，因为根据black-schole模型我认为call option value会上升。
这种情况下BOND是因为利率上升所以下跌的,当然其中包含的BOND CALL OPTION实际净效应应该也是下跌的,但是下跌的没有前者快.
[此贴子已经被作者于2009-12-4 13:40:34编辑过]
"楼主可能没有读清题目，题目里说的是price of callable bond。interest rate上涨的话，call option的value也确实上涨，但是issuer形式call option的可能性也上升，对于bond holder来说，bond价格反而会下跌，所以选A"
我觉得是interest rate下降的情况，issuer才更有可能call back bond，因为这样能另外以更加低的成本筹资。我同样认为call option bond价格会下跌，但比option-free bond下降的更多，因为根据black-schole模型我认为call option value会上升。
Callable bond price= option-free bond-value of call option
[此贴子已经被作者于2009-12-4 13:33:50编辑过]
我把题目贴出来：
If market interest rates rise, the price of a callable bond,compared to an otherwise identical option-free bond, will most likely decrease by:
A. less than the option-free bond
B. more than the option-free bond
C. the same amount as the option-free bond
答案是A.可我觉得答案是B. 根据公式Callable bond price= option-free bond price -value of call option
option-free bond price下降, value of call option上升，所以callable bond下降比option-free bond多。
请大虾赐教。
这样啊，明白了，谢谢88link88！
I am not too sure now, what u explain seem reasonable. primarily, i agree.
but i just recall a graph i saw on the notes. below the market yield, the call option value increases as the interest drop, vis versa, if market interest rates rise, the the value of call option DECREASE,
I ll be back in a min, and check the notes, update u the page no.
这么多热心人。
好感动哦~
I am not too sure now, what u explain seem reasonable. primarily, i agree.
but i just recall a graph i saw on the notes. below the market yield, the call option value increases as the interest drop, vis versa, if market interest rates rise, the the value of call option DECREASE,
I ll be back in a min, and check the notes, update u the page no.
what the notes tell you is right only if it is related to a bond call. But the concept will be reversed with regard to a stock call. The underlying reasoning is black-schole formula which you will need to learn and grasp at level 2 exam. So just ignoring this, remember what the notes have told you. Black-schole formula won't be covered in Level I exam.
Corret it," as interest rate raises, the bond call option value decrease, stock call option value increase."
Corret it," as interest rate raises, the bond call option value decrease, stock call option value increase."
[此贴子已经被作者于2009-12-4 14:46:27编辑过]
Corret it," as interest rate raises, the bond call option value decrease, stock call option value increase."
英语里从来就没有什么market interest rate,只有MARKET YIELD.
本来挺明白的快给lz搞糊涂了,我是这么考虑的interest rate上升,导致bond价格下降,所以发行人赎回的可能性越来越小,即call option的负面价格也会越来越小,最后他的价格趋于0,所以对于不含权的债券价格下降的比含权的要快,其实那个图最能说明问题,在低yield阶段,convexity为负的那一段,option free的债券价格明显比callable bond的价格下降的快的多.
有这么复杂吗?有call的bond对利率的变化敏感度都小于option-free的bond，所以选小于。
callable bond price= 无期权bond price-price of call
当利率上升的时候，bond price 下降，call price也下降。这样整体来说比无期权的bond价格降低要小 。
所以是A
排～
这是关键点
[此贴子已经被作者于2009-12-5 12:14:50编辑过]
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