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colin809 · 2020年11月07日

问一道题:NO.PZ201602270200001903 第3小题 [ CFA II ]

* 问题详情,请 查看题干

问题如下:

3. Method 1 would most likely not be an appropriate valuation technique for the bond issued by:

选项:

A.

Hutto-Barkley Inc.

B.

Luna y Estrellas Intl.

C.

Peaton Scorpio Motors.

解释:

B is correct.

The Luna y Estrellas Intl. bond contains an embedded option. Method 1 will produce an arbitrage-free valuation for option-free bonds; however, for bonds with embedded options, changes in future interest rates impact the likelihood the option will be exercised and so impact future cash flows. Therefore, to develop a framework that values bonds with embedded options, interest rates must be allowed to take on different potential values in the future based on some assumed level of volatility (Method 2).

A and C are incorrect because the Hutto-Barkley Inc. bond and the Peaton Scorpio Motors bond are both option-free bonds and can be valued using either Method 1 or Method 2 to produce an arbitrage-free valuation.

Therefore, to develop a framework that values bonds with embedded options, interest rates must be allowed to take on different potential values in the future based on some assumed level of volatility (Method 2). 可以结合题目解释下这句话吗?谢谢
1 个答案

吴昊_品职助教 · 2020年11月08日

同学你好:

Therefore, to develop a framework that values bonds with embedded options, interest rates must be allowed to take on different potential values in the future based on some assumed level of volatility (Method 2). 这句话描述的就是题干中的方法2,也就是构建利率二叉树。基于假设的波动率(二叉树的假设之一),构建二叉树即可考虑未来的不同可能性,从而来给含权债券定价。