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JR · 2021年04月13日

Corporate bonds have an upper price bound.这句话怎么理解呢

NO.PZ2020033001000057

问题如下:

The BSM (Black-Scholes-Merton) model is inappropriate for valuing options on corporate bonds because:

选项:

A.

Corporate bonds have credit risk.

B.

Corporate bonds have an upper price bound.

C.

Corporate bonds have constant price volatility.

D.

Corporate bonds are not priced via arbitrage approaches.

解释:

B is correct.

考点: BSM Model Assumptions

解析:

The BSM model has the following assumptions:

1) No upper price bound

2) Constant risk-free rate

3) Constant volatility

Corporate bonds have an upper price bound.这句话怎么理解呢

1 个答案
已采纳答案

品职答疑小助手雍 · 2021年04月13日

嗨,从没放弃的小努力你好:


公司债不可能无限涨价的。BSM估值期权的话是因为股价有无限的上涨空间(服从lognormal),而bond上限就是利率等于0的时候价值等于所有现金流的加和。

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