NO.PZ2018123101000089
问题如下：
Exhibit 1 shows the information about selected fixed-rate bonds of Alpha Corporation
Note: All bonds in exhibit above have remaining maturities of exactly three years
Exhibit 2 presents the interest rate tree.
Based on Exhibit 1 and Exhibit 2, the market price of Bond 4 is closest to:
选项：
A.100.4578.
B.100.5123.
C.100.8790.
解释：
A is correct.
考点：考察对含权债券的估值
解析：
对于含权债券，需要将最后一笔现金流逐渐向前一个节点折现，然后需要对比每一个节点能否实现该折现值，对于Callable bond，因为embedded call option的存在，高于行权价的折现值将取不到，折现值高于行权价的节点，其债券价值调整为行权价；如下图：在第二年中间节点与下面节点，现金流的折现值分别为100.2237与101.5642，但该值大于行权价，债券会被提前赎回，因此将该节点的债券价格调整到行权价100。
为什么T=0不直接行权呢？
