L1- interest rates rise，price/ value of call option increase or decrease? price, option, interest, increase, decrease

pingguohjy

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？

erix9000

 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

erix9000

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.

stevenxie

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~

pingguohjy

 不对吧，应该是
value of callable bond =option free band -  call option price

zyystein

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

pingguohjy

 那97题答案就错了？

ttsdcool

call up put down