88link88

QUOTE:

以下是引用waseda90在2009-12-4 13:09:00的发言：
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

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]

88link88

QUOTE:

以下是引用orientleon在2009-12-4 13:57:00的发言：

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.

88link88

QUOTE:

以下是引用orientleon在2009-12-4 14:22:00的发言：
pls refer to page 28 notes 5, figure 3, as interest rate raises, the call option value decease!

Corret it," as interest rate raises, the bond call option value decrease, stock call option value increase."

88link88

QUOTE:

以下是引用ragione在2009-12-4 16:32:00的发言：
 call option 价格降低的原因是underlying asset(bond) 的价格降低了, market interest rate 和 risk free rate 不是同一个概念

严格证明看看black scholes formula就可以了

或者用call put parity

c = p+s-PV(k)

underlying asset price s decreases, this change is the main part of the variation, so call price on this bond decreases

英语里从来就没有什么market interest rate,只有MARKET YIELD.