NO.PZ2020033002000040
问题如下：
Mangosteen Bank launched a hedging strategy transaction. Long bonds of one firm and short stocks of the same firm based on Merton model. But the hedging strategies failed due to some conditions in the market. The stock price did not fall when the bond price fell. Which of the following is the most likely situation in the market?
选项：
A.The risk free rate increased and the volatility of the firm asset decreased.
B.The risk free rate increased and the volatility of the firm asset increased. C.The risk free rate decreased and the volatility of the firm asset decreased. D.The risk free rate decreased and the volatility of the firm asset increased.解释：
B is correct.
考点：Merton Model
解析：利率上升会使债券价格下降，对权益的影响较小。
而波动率增大会导致债券价格下降，但是因为权益其实相当于option，波动率的增加会使权益价格上升。
所以B选项会导致债跌股不跌的情况出现。
S=VN（d1）-Fe^(-rt)N(d2)
Bond=Fe^(-rt)
Stock 不是与波动是负相关，与无风险利率是正相关吗？
