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- 223383
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- 244
- 主题
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- 注册时间
- 2011-7-11
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- 2014-8-7
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I know how to value an option on a bond using backwards induction
But I am wondering, is the method presented in the CFAI curriculum only valid for options on risk free bonds?
Because for a risky bond, to value it at any node in the tree you would need to discount at the rate in the original tree+OAS, while for the payoff of the option you would discount that at the rate without the OAS because you assume a risk nuetral portfolio...
Ugh, I might just be burning out, this was never a problem the first 400 times I read the curriculum. |
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发表于 2011-7-11 20:04
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