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•西• · 2020年05月11日

问一道题:NO.PZ2016070202000031 [ FRM II ]

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.

利率波动下降会导致callable价值下降?为什么选b的上升呢?

2 个答案

品职答疑小助手雍 · 2023年07月11日

callable bond使发行人有权利回购债券(发行人有债券的call option,投资人就是-债券的call option),convertible bond让投资人有权利把债券转换成股票(股票的call option)。

把这两种属性复合起来就可以了。

品职答疑小助手雍 · 2020年05月11日

嗨,努力学习的PZer你好:


callable convertible bond=bond-call option on bond+call option on stock

利率波动下降使call option on bond价值下降,这项是被减的,所以利率波动下降会使整体callable convertible bond上升。


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!


水瓶公主 · 2023年07月10日

,callable convertible bond价值就等于bond + 股票的call option(受股票波动影响) - 债券的call option(受利率波动影响)。这个如何理解呢

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