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Ok.... the call option is owned by the bond issuer. So from the bond issuer's perspective the call has a value of 1.56
So the market value of call which the bond issuer owns (he is the only one that can exercise not the investor) is 1.56. We are short that call on bond as the investor, so the value to the investor is -1*call price.
Make sense? |
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发表于 2011-7-13 13:47
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