NO.PZ2020033002000039
问题如下:
According to the Morton model, which of the following changes will lead a decline of the bond value?
选项:
A.The decrease of the risk free rate.
B.The increase of the firm value volatility.
C.The decrease of the time to maturity.
D.None of the above.
解释:
B is correct.
考点:Merton Model
解析:无风险利率降低的话,债券的价格会上升;
公司总资产的波动大的话,更有可能跌到债券面值以下(更可能资不抵债),债券价格会下降;
时间减小的话债券价格会上升。
Bond value = Bone riskfree + short put
因为波动率增加,所以long call的value就增加了。然后应该怎么分析到short put会怎么变呢