问题如下:
6. All else being equal, a rise in interest rates will most likely result in the value of the option embedded in Bond #3:
选项:
A.decreasing.
B.remaining unchanged.
C.increasing.
解释:
C is correct.
Bond #3 is a putable bond, and the value of a put option increases as interest rates rise. At higher interest rates, the value of the underlying option-free bond (straight bond) declines, but the decline is offset partially by the increase in the value of the embedded put option, which is more likely to be exercised.
请问我这么理解,有什么问题?当利率上升,put option的价格下降。Vp=Vs+Voption,Vs价格是不变的,所以Voption是下降的?谢谢