请问A选项哪里错了？

问题如下：

What's the reason for effective duration is a more appropriate estimation for interest rate risk than modified duration for a bond with embedded options?

选项：

A.

Because the bond with embedded options exhibits high convexity.

B.

Because the bond with embedded options tends to have greater credit risk than option-free bonds.

C.

Because the option-embedded bond has uncertain cash flows and the cash flows depend on future interest rates.

解释：

C is correct.

The uncertain cash flows of an option-embedded bond, which depend on the path of interest rate changes, is the reason why effective duration must be used.

考点：duration

解析：含权债券只能用effective duration来衡量，是因为含权债券的现金流是不确定的。现金流会受到未来利率变化的影响。比如：利率下降了，callable bond的发行人可能会提前赎回债券，以一个更低的利率重新发行债券进行再融资，从而降低融资成本。一旦债券被提前赎回，那债券的现金流就发生了变化。正因为现金流的不确定性，导致无法用modified duration，只能用站在事后观察到的价格变化来反推effective duration。故选项C正确。