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六姑娘 · 2021年11月13日

这题没看懂,麻烦解析

NO.PZ2020033002000040

问题如下:

Mangosteen Bank launched a hedging strategy transaction. Long bonds of one firm and short stocks of the same firm based on Merton model. But the hedging strategies failed due to some conditions in the market. The stock price did not fall when the bond price fell. Which of the following is the most likely situation in the market?

选项:

A.

The risk free rate increased and the volatility of the firm asset decreased.

B.The risk free rate increased and the volatility of the firm asset increased.

C.The risk free rate decreased and the volatility of the firm asset decreased.

D.The risk free rate decreased and the volatility of the firm asset increased.

解释:

B is correct.

考点:Merton Model

解析:利率上升会使债券价格下降,对权益的影响较小。

而波动率增大会导致缱绻价格下降,但是因为权益其实相当于option,波动率的增加会使权益价格上升。

所以B选项会导致债跌股不跌的情况出现。

这题没看懂,麻烦解析,谢谢

1 个答案

DD仔_品职助教 · 2021年11月13日

嗨,从没放弃的小努力你好:


题目问债券价格下降,但是股票价格没有下降,这是为啥?

债券价格下降的原因是利率上升了,因为他俩反向关系,我们排除cd

股价没有下降,是由于波动率,我们在莫顿模型里,将equity也就是股票类比为call option on firm。

那么波动率如果越大,对于call option来说他就会越值钱,也就等同于equity价格上升,或者说不变,总之就是没下降。

所以我们选b

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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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NO.PZ2020033002000040 问题如下 Mangosteen Bank launchea heing strategy transaction. Long bon of one firm anshort stocks of the same firm baseon Merton mol. But the heing strategies failee to some contions in the market. The stoprinot fall when the bonprifell. Whiof the following is the most likely situation in the market? The risk free rate increaseanthe volatility of the firm asset crease B.The risk free rate increaseanthe volatility of the firm asset increase C.The risk free rate creaseanthe volatility of the firm asset crease The risk free rate creaseanthe volatility of the firm asset increase B is correct.考点Merton Mol解析利率上升会使债券价格下降,对权益的影响较小。而波动率增大会导致债券价格下降,但是因为权益其实相当于option,波动率的增加会使权益价格上升。所以B会导致债跌股不跌的情况出现。 S=VN()-Fe^(-rt)N()BonFe^(-rt)Sto不是与波动是负相关,与无风险利率是正相关吗?

2023-11-05 10:34 2 · 回答

NO.PZ2020033002000040 The risk free rate increaseanthe volatility of the firm asset increase The risk free rate creaseanthe volatility of the firm asset crease The risk free rate creaseanthe volatility of the firm asset increase B is correct. 考点Merton Mol 解析利率上升会使债券价格下降,对权益的影响较小。 而波动率增大会导致缱绻价格下降,但是因为权益其实相当于option,波动率的增加会使权益价格上升。 所以B会导致债跌股不跌的情况出现。 题干中说了是short stock,那不是应该相当于short call吗?volatility 增加,call price价格应该下降吧?

2021-10-21 17:42 1 · 回答