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丁洁Amy · 2021年08月19日

当利率下降时,对put option的影响

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NO.PZ201712110200000306

问题如下:

If the Brown and Company forecast comes true, which of the following is most likely to occur? The value of the embedded option in:

选项:

A.

Bond 3 decreases.

B.

Bond 4 decreases.

C.

both Bond 3 and Bond 4 increases.

解释:

A is correct.

All else being equal, the value of a put option decreases as the yield curve moves from being upward sloping to flat to downward sloping (inverted). Alternatively, a call option’s value increases as the yield curve flattens and increases further if the yield curve inverts. Therefore, if the yield curve became inverted, the value of the embedded option in Bond 3 (putable) would decrease and the value of the embedded option in Bond 4 (Callable) would increase.

老师好,


这个题我判断出利率是下降的,(因为是invert),然后我就想,利率下降,对call option是好的,因为可以行权,体现出它的价值了,那它的value上升。但是对于put option,我觉得没有区别,因为put option在利率下降时和不含权债券一样呀,反正put option也不会行权。为什么答案是它会下降呢?


请问老师我哪里理解错了?谢谢老师

1 个答案

WallE_品职答疑助手 · 2021年08月19日

嗨,爱思考的PZer你好:


期权本身是有价值的,当越远离行权价格的时候,期权价值自然下去了,所以put options的价值会下降。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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