A straight 5% bond has two years remaining to maturity and is priced at $981.67.A callable bond that is the same in every respect as the straight bond ,expect for the call feature, is priced at $917.60. With the yield curve flat at 6%,what is the value of the embedded call option?

A $-82.40

B $45.80

C $64.07

D $101.00

This is my answer:

Consider the market yield has been up to 6%,the value of the call option should decrease . So B is the possible answer.

Why the answer in the book is C?

Thanks.

Consider the market yield has been up to 6% 这句话不对，题目假设利率保持不变，而且是水平的，

利用下面这个公式

straight bond＝callable bond+call option 这个问题就可以解决

恩

题目中那句话我没理解对

呵呵

谢谢胡老师

[此贴子已经被作者于2007-8-19 22:44:07编辑过]