Rookie

这么多热心人。

好感动哦~

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.

orientleon

pls refer to page 28 notes 5, figure 3,


as interest rate raises, the call option value decease!

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."

orientleon

QUOTE:

以下是引用88link88在2009-12-4 14:25:00的发言：

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

thx very much. pro enough!

[此贴子已经被作者于2009-12-4 14:46:27编辑过]

orientleon

QUOTE:

以下是引用88link88在2009-12-4 14:25:00的发言：

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

indeed, the original figure was stated for bonds

jysavior

我觉得这道题其实不要深究，你只要记住，有embedded option bonds的interest rate risk 是下降的。也就是同比option free bond，他对于利率变动的敏感性是较小的。

ragione

 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

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.

loyalvirgo

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.