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Q6. Johnson asks Wall to compute the value of the call option. Using the given information what is the value of the embedded call option?
A) $1.21.
B) $2.04.
C) $0.00.
Q7. Wall is a little confused over the relationship between the embedded option and the callable bond. How does the value of the embedded call option change when interest rate volatility increases? The value:
A) may increase or decrease.
B) decreases.
C) increases.
Q8. Wall wonders how the value of the callable bond changes when interest rate volatility increases. How will an increase in volatility affect the value of the callable bond? The value:
A) decreases.
B) increases.
C) may increase or decrease.
Q9. Wall now turns his attention to the value of the embedded call option. How does the value of the embedded call option react to an increase in interest rates? The value of the embedded call:
A) increases.
B) decreases.
C) remains the same.
Q10. Wall believes he understands the relationship between interest rates and straight bonds but is unclear how callable bonds change as interest rates increase. How do prices of callable bonds react to an increase in interest rates? The price:
A) may increase or decrease.
B) decreases.
C) increases.
Q11. The value of a callable bond is equal to the:
A) callable bond value minus the value of the put option minus the value of the call option.
B) option-free bond value minus the value of the call option.
C) callable bond plus the value of the embedded call option.
Q12. How does the value of a callable bond compare to a noncallable bond? The bond value is:
A) lower or higher.
B) higher.
C) lower.
Q13. A callable bond and an option-free bond have the same coupon, maturity and rating. The callable bond currently trades at par value. Which of the following lists correctly orders the values of the indicated items from lowest to highest?
A) Embedded call, callable bond, zero, option-free bond.
B) Zero, embedded call, callable bond, option-free bond.
C) Embedded call, zero, callable bond, option-free bond.
Q14. A callable bond, a putable bond, and an option-free bond have the same coupon, maturity and rating. The call price and put price are 98 and 102 respectively. The option-free bond trades at par. Which of the following lists correctly orders the values of the three bonds from lowest to highest?
A) Callable bond, option-free bond, putable bond.
B) Option-free bond, putable bond, callable bond.
C) Putable bond, option-free bond, callable bond.
[此贴子已经被作者于2009-3-18 18:02:52编辑过] | 
发表于 2009-3-18 17:44
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