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徒慕君 · 2023年08月19日

到底是option bond还是option free bond?

NO.PZ2023040701000046

问题如下:

Maalouf notes Fujioka currently values option-free bonds by discounting their future expected cash flows using the zero-coupon yield curve. He asks her why she hasn’t adopted the more flexible binomial interest rate tree framework. She replies, “My approach will calculate the same values for option-bonds as those produced by a properly calibrated binomial tree. Further, it would require special programming techniques to calibrate a binomial tree to match benchmark risk-bond prices, making implementation of that approach quite costly.”

Is Fujioka most likely correct when comparing her approach to valuation with the binomial interest rate tree framework?

选项:

A.

No, the values estimated by the two approaches will likely be different

B.

Yes

C.

No, she is incorrect regarding calibration of interest rate trees

解释:

Correct Answer: C

Calibrating an interest rate tree can be accomplished using spreadsheet software (e.g., the Solver function in Excel) and is therefore relatively easy to do without a knowledge of special programming techniques and without great expense.

She replies, “My approach will calculate the same values for option-bonds as those produced by a properly calibrated binomial tree. 

前面又写她在估值option-free bond;option bond只能用二叉树估值。所以题干的信息前后矛盾吧。


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已采纳答案

pzqa31 · 2023年08月20日

嗨,从没放弃的小努力你好:


不是,这个人是在说他用 the zero-coupon yield curve给option-free bond估值,后面说的是他觉得用这种方法给option bond估值也一样,因为二叉树require special programming techniques,错在最后这里。

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