为什么long volatility是通过long putable bond, short volatility是通过long callable bond
pzqa31 · 2023年07月24日
嗨,爱思考的PZer你好:
callable bond=long option free bond+short call option on the bond;
putable bond=long option free bond+long put option on the bond;
long option=long volatility,short option=short volatility
所以,long callable bond是short volatility,long putable bond是long volatility。
----------------------------------------------虽然现在很辛苦,但努力过的感觉真的很好,加油!