NO.PZ2020033002000035
问题如下:
According to the Morton model, buying a company's bonds is equivalent to what kind of option action is performed on the company's assets?
选项:
A.A long call
B.A short put
C.A short call
D.A long put
解释:
B is correct.
考点:Merton Model
解析:信用债的买方在公司资产低于债务水平的时候不会亏钱,低于了就会亏钱,相当于一个对该公司的资产short put option的头寸。
为什么不用put call parity