NO.PZ2016070202000031
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: An
increase in value due to both interest rate volatility and stock price
volatility
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.
What is the effect on the value of a callable convertible bond of a decrease in interest rate volatility and stock price volatility?
Q1:callable convertible bong 和converitible bond 有什么区别呢。
Q2:converitible bond 是债转股,sigma (r) 减少,就说明这个可转债没那么有吸引力(r下降,velue上升)所以卖得贵 (答案是inrease the value)。sigma(P) 减少,说明没那么容易转成债去获得额外收益, 所以Value减少 (答案是decrease the value)
老师帮忙看下理解得对吗