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- UID
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- 2011-7-11
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- 2014-8-7
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less vol = less option value = decrease in call option value. Assuming the bond is callable by the Issuer, the Investor in the bond is short the call option, so if the call option decreases in value the value of the bond increases.
Think of it as
Bond value = value of cash flows - value of call option |
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发表于 2011-7-13 16:25
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