老师,您好,麻烦问一下第8题,其实yield curve由steep(upward或downward)变成flat,应该是有两个原因吧,一是short-term rate increase>long-term rate increase,二是long-term decrease>short-term decrease,那一般做这种涉及yield curve形状改变的题,我怎么判断r是上升还是下降呢?
像这一题,我判断是r(short-term上升更多),所以p下降,那么call option更没用,更不值钱,out of money,所以选了A。