问题如下:
What is the effect on the value of a callable convertible bond of a decrease in interest rate volatility and stock price volatility?
选项:
A. An
increase in value due to both interest rate volatility and stock price
volatility
B. An
increase and decrease in value, respectively
C. A
decrease and increase in value, respectively
D. A
decrease in value due to both
解释:
A decrease in stock price volatility decreases the value of the equity conversion option and thus the convertible bond price. A decrease in interest rate volatility decreases the value of the interest rate call option. Because the bond investor is short the interest rate option, this increases the value of the convertible.
你好老师,这道题的考点是在notes上那一个呢?不是很能理解