标题: L1- interest rates rise，price/ value of call option increase or decrease? [打印本页]
作者: pingguohjy 时间: 2009-5-31 04:58 标题: L1- interest rates rise，price/ value of call option increase or decrease?
2008 mock 94, 97题里面，答案的解释，一个说利率上升， call option price上升， 一个说利率上升， value of call option 下降， 这是怎么回事？到底上升还是下降啊？
作者: ttsdcool 时间: 2009-5-31 05:53
call up put down
作者: pingguohjy 时间: 2009-5-31 06:32
那97题答案就错了？
作者: zyystein 时间: 2009-5-31 09:32
value of call option =option free band - option price
value of put option =option free band + option price
利率上升会是option price 增加
作者: pingguohjy 时间: 2009-5-31 13:38
不对吧，应该是
value of callable bond =option free band - call option price
作者: stevenxie 时间: 2009-5-31 17:58
这个估计你没看清楚吧，在C+X/(1+R)t =S+ P 中，如果是r上升，则c上升，p下降，不是在收益率YTM和债券价格P的图形中看的~
作者: erix9000 时间: 2009-6-2 05:46
when call option price increase, the value of call option decease.
Since Call option price = Option Free Bond-Value of call option
While put option price=Option free bond+value of put option
Option price and value of option are different means.
作者: erix9000 时间: 2009-6-2 05:54
Detail reason:
Greater volatility in the value of an asset or interest rate underlying an
option contract increases the values of both puts and calls (and caps and
floors). The reason is that options are “one-sided.” Since an option’s value
falls no lower than zero when it expires out of the money, the increased upside
potential (with no greater downside risk) from increased volatility, increases
the option’s value
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