以下是引用youzizhang在2009-3-18 17:50:00的发言：
LOS f: Explain the effect of volatility on the arbitrage-free value of an option.
Q1. As the volatility of interest rates increases, the value of a callable bond will:
A) rise.
B) rise if the interest rate is below the coupon rate, and fall if the interest rate is above the coupon rate.
C) decline.
Q2. On a given day, a bond with a call provision rose in value by 1%. What can be said about the level and volatility of interest rates?
A) The only possible explanation is that level of interest rates fell.
B) A possibility is that the level of interest rates remained constant, but the volatility of interest rates rose.
C) A possibility is that the level of interest rates remained constant, but the volatility of interest rates fell.
Q3. As the volatility of interest rates increases, the value of a putable bond will:
A) rise.
B) decline.
C) rise if the interest rate is below the coupon rate, and fall if the interest rate is above the coupon rate.
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发表于 2009-5-24 22:00
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