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- UID
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- 2011-7-11
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- 2014-2-27
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I Think Penny-Wenny interpreted it as a callable bond..whereas it is actually a derivatives question where
Minimum value of a call is = S - X/((1+RFR)^t)
When the interest rate rises, the value of the second part of the expression decreases as the interest rate rises, hence the Value of option rises. |
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发表于 2011-7-13 16:17
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